Diffusion hitting times and the bell-shape

Wissem Jedidi and Thomas Simon

Statistics & Probability Letters, 2015, vol. 102, issue C, 38-41

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.

Keywords: Bell-shape; Exponential mixture; Generalized diffusion; Hitting time; Speed measure (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2015.03.008

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