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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
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: |
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| 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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