Further studies on square-root boundaries for Bessel processes

Electronic Communications in Probability

Larbi Alili¹ 

关键词: Bessel processes;    exponential functionals;    random affine equations;    square-root boundaries;   

DOI  :  10.1214/18-ECP139

学科分类：统计和概率

来源: Institute of Mathematical Statistics

【 摘 要 】

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.

【 授权许可】

CC BY