On a first hit distribution of the running maximum of Brownian motion

DOI10.1016/J.SPA.2021.12.015zbMath1491.60145arXiv2103.08358OpenAlexW3136737219WikidataQ114130751 ScholiaQ114130751MaRDI QIDQ2145826

Julien Randon-Furling, Paavo H. Salminen, Pierre Vallois

Publication date: 20 June 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.08358

zbMATH Keywords

integral equationBrownian motionsubordinatorexcursionspectrally negative Lévy processpath transformation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Sample path properties (60G17) Stable stochastic processes (60G52)

Cites Work

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• On the excursions of reflected local-time processes and stochastic fluid queues
• Hitting Probabilities for Spectrally Positive Lévy Processes
• Path Decomposition and Continuity of Local Time for One-Dimensional Diffusions, I
• The joint density of the maximum and its location for a Wiener process with drift

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