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Diffusion hitting times and the bell-shape
Journal article   Peer reviewed

Diffusion hitting times and the bell-shape

Wissem Jedidi and Thomas Simon
Statistics & probability letters, Vol.102, pp.38-41
07/2015

Abstract

Bell-shape Exponential mixture Generalized diffusion Hitting time Speed measure
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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