The Library
Further studies on square-root boundaries for Bessel processes
Tools
Tools
Tools
Alili, Larbi and Matsumoto, Hiroyuki (2018) Further studies on square-root boundaries for Bessel processes. Electronic communications in probability, 23 . 39. doi:10.1214/18-ECP139
|
PDF
WRAP-further-studies-square-root-boundaries-processes-Alili-2018.pdf - Published Version - Requires a PDF viewer. Available under License Creative Commons Attribution 4.0. Download (396Kb) | Preview |
Official URL: http://dx.doi.org/10.1214/18-ECP139
Abstract
We look at decompositions of perpetuities and apply them to the study of the distributions of hitting times of Bessel processes of two types of square root boundaries. These distributions are linked giving a new proof of some Mellin transforms results obtained by DeLong [6] and Yor [17]. Several random factorizations and characterizations of the studied distributions are established.
| Item Type: | Journal Article | ||||||
|---|---|---|---|---|---|---|---|
| Subjects: | Q Science > QA Mathematics | ||||||
| Divisions: | Faculty of Science > Statistics | ||||||
| Library of Congress Subject Headings (LCSH): | Bessel functions, Square root | ||||||
| Journal or Publication Title: | Electronic communications in probability | ||||||
| Publisher: | University of Washington. Dept. of Mathematics | ||||||
| ISSN: | 1083-589X | ||||||
| Official Date: | 2018 | ||||||
| Dates: |
|
||||||
| Date of first compliant deposit: | 14 March 2019 | ||||||
| Volume: | 23 | ||||||
| Article Number: | 39 | ||||||
| DOI: | 10.1214/18-ECP139 | ||||||
| Status: | Peer Reviewed | ||||||
| Publication Status: | Published | ||||||
| Access rights to Published version: | Open Access | ||||||
| Related URLs: |
Request changes or add full text files to a record
Repository staff actions (login required)
 |
View Item |
Downloads
Downloads per month over past year
