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arxiv: 1503.08549 · v1 · pith:CZASRMRBnew · submitted 2015-03-30 · 🧮 math.PR

Diffusion hitting times and the Bell-shape

classification 🧮 math.PR
keywords hittingdiffusiontimespointbell-shapebell-shapedconditionalconsider
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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.

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