The arctangent law for a certain random time related to one-dimensional diffusions |
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| Authors: | Mario Abundo |
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| Institution: | Dipartimento di Matematica, Università “Tor Vergata”, via della Ricerca Scientifica, Rome, Italy |
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| Abstract: | For a time-homogenous 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 in the interval 0, r], generalizing a result of Papanicolaou, holding for Brownian motion. |
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| Keywords: | One-dimensional diffusion first-passage time maximum value in an interval |
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