On last passage times of linear diffusions to curved boundaries

Details On last passage times of linear diffusions to curved boundaries On last passage times of linear diffusions to curved boundaries

2012-04-25

arxiv.org/abs/1204.5736v1

Mathematics

Probability

Scientific paper

The aim of this paper is to study the law of the last passage time of a linear diffusion to a curved boundary. We start by giving a general expression for the density of such a random variable under some regularity assumptions. Following Robbins & Siegmund, we then show that this expression may be computed for some implicit boundaries via a martingale method. Finally, we discuss some links between first hitting times and last passage times via time inversion, and present an integral equation (which we solve in some particular cases) satisfied by the density of the last passage time. Many examples are given in the Brownian and Bessel frameworks.

Affiliated with

Also associated with

No associations

Rating

On last passage times of linear diffusions to curved boundaries does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On last passage times of linear diffusions to curved boundaries, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On last passage times of linear diffusions to curved boundaries will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-140768