71
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

The arctangent law for a certain random time related to one-dimensional diffusions

ORCID Icon
Pages 181-187 | Received 29 Aug 2017, Accepted 29 Sep 2017, Published online: 02 Jan 2018

References

  • Papanicolaou, V. G. 2016. An arctangent law. Statistics & Probability Letters 116:62–64.
  • Ikeda, N., and Watanabe, S. 1981. Stochastic Differential Equations and Diffusion Processes. Amsterdam: North-Holland Publishing Company.
  • Dassios, A., and Lim, J. W. 2017. An Efficient Algorithm for Simulating the Drawdown Stopping Time and the Running Maximum of a Brownian Motion. Methodology Computing Applied Probability Online first, 25 Jan 2017, doi:10.1007/s11009-017-9542-y.
  • Karlin, S., and Taylor, H. M. 1975. A Second Course in Stochastic Processes. New York: Academic Press.
  • Revuz, D., and Yor, M. 1991. Continuous Martingales and Brownian Motion. Berlin, Heidelberg: Springer-Verlag.
  • Abundo, M. 2012. An inverse first-passage problem for one-dimensional diffusions with random starting point. Statistics & Probability Letters 82:7–14.
  • Abundo, M. 2015. On the first-passage time of an integrated Gauss-Markov process. Scientiae Mathematicae Japonicae Online e-2015 28:1–14.
  • Abundo, M. 2013. On the representation of an integrated Gauss-Markov process. Scientiae Mathematicae Japonicae Online e-2013 26:719–723.
  • Abundo, M. 2017. The mean of the running maximum of an integrated Gauss-Markov process and the connection with its first-passage time. Stochastic Analysis and Applications 35(3):499–510, DOI: 10.1080/07362994.2016.1273784
  • Abundo, M. 2016. On the excursions of drifted Brownian motion and the successive passage times of Brownian motion. Physica A 457:176–182.
  • Levy, P. 1965. Processus Stochastiques et Mouvement Brownien. Paris: Gauthier-Villars.
  • Abundo, M. 2006. The arc-sine law for the first instant at which a diffusion process equals the ultimate value of a functional. International Journal of Pure and Applied Mathematics 30(1):13–22.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.