Time and place of the maximum for one-dimensional diffusion bridges and meanders - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Probability Surveys Année : 2021

Time and place of the maximum for one-dimensional diffusion bridges and meanders

Résumé

For three constrained Brownian motions, the excursion, the meander, and the reflected bridge, the densities of the maximum and of the time to reach it were expressed as double series by Majumdar, Randon-Furling, Kearney, and Yor (2008). Some of these series were regularized by Abel summation. Similar results for Bessel processes were obtained by Schehr and Le Doussal (2010) using the real space renormalization group method. Here this work is reviewed, and extended from the point of view of one-dimensional diffusion theory to some other diffusion processes including skew Brownian bridges and generalized Bessel meanders. We discuss the limits of the application of this method for other diffusion processes.
Fichier principal
Vignette du fichier
18-PS312 (5).pdf (442.86 Ko) Télécharger le fichier
Origine : Fichiers éditeurs autorisés sur une archive ouverte

Dates et versions

hal-04157307 , version 1 (10-07-2023)

Identifiants

Citer

Robin Khanfir. Time and place of the maximum for one-dimensional diffusion bridges and meanders. Probability Surveys, 2021, 18 (none), ⟨10.1214/18-PS312⟩. ⟨hal-04157307⟩
13 Consultations
3 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More