Diffusion hitting times and the Bell-shape
Probability
2015-03-31 v1
Abstract
Consider a generalized diffusion on R with speed measure m, in the natural scale. It is known that the conditional hitting times have a unimodal density function. We show that these hitting densities are bell-shaped if and only if m has infinitely many points of increase between the starting point and the hit point. This result can be viewed as a visual corollary to Yamazato's general factorization for diffusion hitting times.
Cite
@article{arxiv.1503.08549,
title = {Diffusion hitting times and the Bell-shape},
author = {Wissem Jedidi and Thomas Simon},
journal= {arXiv preprint arXiv:1503.08549},
year = {2015}
}
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