Preprints, Working Papers, ... Year : 2015

DIFFUSION HITTING TIMES AND THE BELL-SHAPE

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.
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Dates and versions

hal-01136764 , version 1 (28-03-2015)

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Wissem Jedidi, Thomas Simon. DIFFUSION HITTING TIMES AND THE BELL-SHAPE. 2015. ⟨hal-01136764⟩
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