arXiv:1803.09910 Abstract | arXiv Analytics

arXiv:1803.09910 [math.PR]Abstract References Reviews Resources

On the the successive passage times of certain one-dimensional diffusions

Mario Abundo, Maria Beatrice Scioscia Santoro

Published 2018-03-27, updated 2018-04-11Version 4

We show in detail some results, outlined in a previous paper regarding the case of Brownian motion (BM), about the distribution of the $n$th-passage time of a one-dimensional diffusion obtained by a space or time transformation of BM, through a constant barrier $a.$ Some explicit examples are reported.

Comments: 21 pages, 15 figures

Categories: math.PR

Keywords: successive passage times, one-dimensional diffusion, th-passage time, brownian motion, time transformation

Related articles: Most relevant | Search more

arXiv:0802.1152 [math.PR] (Published 2008-02-08, updated 2009-12-09)

Hiding a drift

Miklós Rásonyi, Walter Schachermayer, Richard Warnung

arXiv:1208.6399 [math.PR] (Published 2012-08-31, updated 2013-02-13)

Brownian motion in the quadrant with oblique repulsion from the sides

Dominique Lépingle

arXiv:math/0308193 [math.PR] (Published 2003-08-20)

A central limit theorem for Gibbs measures relative to Brownian motion