First hitting time models for the generalized inverse Gaussian distribution

Ole Barndorff-Nielsen, P. Blæsild and C. Halgreen

Stochastic Processes and their Applications, 1978, vol. 7, issue 1, 49-54

Abstract: Any generalized inverse Gaussian distribution with a non-positive power parameter is shown to be the distribution of the first hitting time of level 0 for each of a variety of time-homogeneous diffusions on the interval [0, [infinity]). The infinite divisibility of the generalized inverse Gaussian distributions is a simple consequence of this and an elementary convolution formula for these distributions.

Date: 1978
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