Abstract
ABSTRACTFor a time-homogenous 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 in the interval [0, r], generalizing a result of Papanicolaou, holding for Brownian motion.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
