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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 ISSN 0002-9939.
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Official URL: http://dx.doi.org/10.1090/S0002-9939-2014-12194-0
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, Engineering and Medicine > Science > Statistics | ||||||||
| Journal or Publication Title: | Proceedings of the American Mathematical Society | ||||||||
| Publisher: | American Mathematical Society | ||||||||
| ISSN: | 0002-9939 | ||||||||
| Official Date: | November 2014 | ||||||||
| Dates: |
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| 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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