The arctangent law for a certain random time related to one-dimensional diffusions

DOI10.1080/07362994.2017.1387565zbMath1382.60102arXiv1702.08700OpenAlexW2963117389MaRDI QIDQ4607795

Mario Abundo

Publication date: 14 March 2018

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

Full work available at URL: https://arxiv.org/abs/1702.08700

zbMATH Keywords

first-passage timeone-dimensional diffusionmaximum value in an interval

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Stochastic integrals (60H05)

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Cites Work

• An arctangent law
• An inverse first-passage problem for one-dimensional diffusions with random starting point
• On the excursions of drifted Brownian motion and the successive passage times of Brownian motion
• An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion
• The mean of the running maximum of an integrated Gauss–Markov process and the connection with its first-passage time
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