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Boundary-crossing identities for diffusions having the time-inversion property

By Larbi Alili and P. Patie

Abstract

We review and study a one-parameter family of functional transformations, denoted by (S (β)) β∈ℝ, which, in the case β<0, provides a path realization of bridges associated to the family of diffusion processes enjoying the time-inversion property. This family includes Brownian motions, Bessel processes with a positive dimension and their conservative h-transforms. By means of these transformations, we derive an explicit and simple expression which relates the law of the boundary-crossing times for these diffusions over a given function f to those over the image of f by the mapping S (β), for some fixed β∈ℝ. We give some new examples of boundary-crossing problems for the Brownian motion and the family of Bessel processes. We also provide, in the Brownian case, an interpretation of the results obtained by the standard method of images and establish connections between the exact asymptotics for large time of the densities corresponding to various curves of each family

Topics: QA
Publisher: Springer New York LLC
Year: 2010
OAI identifier: oai:wrap.warwick.ac.uk:3298

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