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First hitting time models for the generalized inverse Gaussian distribution

Any generalized inverse Gaussian distribution with a non-positive power parameter is shown to be the distribution of the first hitting time of level 0 for each of a variety of time-homogeneous diffusions on the interval [0, [infinity]). The infinite divisibility of the generalized inverse Gaussian distributions is a simple consequence of this and an elementary convolution formula for these distributions.
Year of publication:
1978
Authors: Barndorff-Nielsen, O. ; Blæsild, P. ; Halgreen, C.
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 7.1978, 1, p. 49-54
Publisher: Elsevier
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10008874035
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