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arXiv · 1702.08700

The arctangent law for a certain random time related to a one-dimensional diffusion

Mario Abundo
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Abstract

For a time-homogeneous, 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 on the interval $[0,r],$ generalizing a result of Papanicolaou, which is valid for Brownian motion.

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Mario Abundo. 2017-02-28. The arctangent law for a certain random time related to a one-dimensional diffusion. https://arxiv.org/abs/1702.08700

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