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Boundary crossing identities for Brownian motion and some nonlinear ode’s

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Alili, Larbi and Patie, P. (2014) Boundary crossing identities for Brownian motion and some nonlinear ode’s. Proceedings of the American Mathematical Society, Volume 142 (Number 11). pp. 3811-3824. doi:10.1090/S0002-9939-2014-12194-0

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Official URL: http://dx.doi.org/10.1090/S0002-9939-2014-12194-0

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Abstract

We start by introducing a nonlinear involution operator which maps the space of solutions of Sturm-Liouville equations into the space of solutions of the associated equations which turn out to be nonlinear ordinary differential equations. We study some algebraic and analytical properties of this involution operator as well as some properties of a two-parameter family of operators describing the set of solutions of Sturm-Liouville equations. Next, we show how a specific composition of these mappings allows us to connect, by means of a simple analytical expression, the law of the first passage time of a Brownian motion over a curve to a two-parameter family of curves. We offer three different proofs of this fact which may be of independent interests. In particular, one is based on the construction of parametric time-space harmonic transforms of the law of some Gauss-Markov processes. Another one, which is of algebraic nature, relies on the Lie group symmetry methods applied to the heat equation and reveals that our two-parameter transformation is the unique nontrivial one.

Item Type: Journal Article
Divisions: Faculty of Science > Statistics
Journal or Publication Title: Proceedings of the American Mathematical Society
Publisher: American Mathematical Society
ISSN: 0002-9939
Official Date: November 2014
Dates:
DateEvent
November 2014Published
14 August 2014Available
9 November 2012Submitted
Volume: Volume 142
Number: Number 11
Page Range: pp. 3811-3824
DOI: 10.1090/S0002-9939-2014-12194-0
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

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