Diffusion hitting times and the bell-shape

被引：5

作者：

Jedidi, Wissem ^{[1
,2
]}

Simon, Thomas ^{[3
,4
]}

机构：

[1] King Saud Univ, Coll Sci, Dept Stat & Operat Res, Riyadh 11451, Saudi Arabia

[2] Univ Tunis El Manar, Dept Math, Tunis 2092 1, Tunisia

[3] Univ Lille 1, Lab Paul Painleve, F-59655 Villeneuve Dascq, France

[4] Univ Paris 11, Lab Phys Theor & Modeles Stat, F-91405 Orsay, France

来源：

STATISTICS & PROBABILITY LETTERS | 2015年 / 102卷

关键词：

Bell-shape; Exponential mixture; Generalized diffusion; Hitting time; Speed measure; DENSITIES;

D O I：

10.1016/j.spl.2015.03.008

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：38 / 41

页数：4

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