The arctangent law for a certain random time related to a one-dimensional diffusion
Probability
2017-03-01 v1
Abstract
For a time-homogeneous, one-dimensional diffusion process we investigate the distribution of the first instant, after a given time at which exceeds its maximum on the interval generalizing a result of Papanicolaou, which is valid for Brownian motion.
Keywords
Cite
@article{arxiv.1702.08700,
title = {The arctangent law for a certain random time related to a one-dimensional diffusion},
author = {Mario Abundo},
journal= {arXiv preprint arXiv:1702.08700},
year = {2017}
}