2017/02/28 by Mario Abundo, Abundo, Mario
Economics, Econometrics and Finance · Mathematics · #Brownian motion #Combinatorics #Computer science #Diffusion #Diffusion process #Distribution (mathematics) #Homogeneous #Instant #Interval (graph theory) #Inverse trigonometric functions #Local time #Mathematical analysis #Mathematics #Physics #Quantum mechanics #Statistical physics #Statistics #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #advanced mathematical theories #math.PR #msc:60H05 #msc:60H10 #msc:60J60
paper · pdf · doi:10.48550/arxiv.1702.08700
arxiv created 2017/02/28 · openalex publication_date 2017/02/28 · arxiv updated 2017/03/01 · openalex created_date 2017/03/16 · openalex updated_date 2026/07/28
For a time-homogeneous, one-dimensional diffusion process X(t), we investigate the distribution of the first instant, after a given time r, at which X(t) exceeds its maximum on the interval [0,r], generalizing a result of Papanicolaou, which is valid for Brownian motion.