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Further studies on square-root boundaries for Bessel processes

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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 ISSN 1083-589X.

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Official URL: http://dx.doi.org/10.1214/18-ECP139

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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, Engineering and Medicine > 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:
DateEvent
2018Published
29 May 2018Accepted
Volume: 23
Article Number: 39
DOI: 10.1214/18-ECP139
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Open Access (Creative Commons)
Date of first compliant deposit: 14 March 2019
Date of first compliant Open Access: 19 March 2019
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