First hitting time models for the generalized inverse Gaussian distribution |
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Authors: | O Barndorff-Nielsen P BlÆsild C Halgreen |
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Institution: | Institute of Mathematics, Aarhus University, DK-8000 Aarhus, Denmark |
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Abstract: | Any generalized inverse Gaussian distribution with a non-positive power parameter is shown to be the distribution of the first hitting time of level 0 for each of a variety of time-homogeneous diffusions on the interval 0, ∞). The infinite divisibility of the generalized inverse Gaussian distributions is a simple consequence of this and an elementary convolution formula for these distributions. |
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