[hal-01136764] DIFFUSION HITTING TIMES AND THE BELL-SHAPE

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.



from HAL : Dernières publications http://ift.tt/1BCAW1i