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august 2013 On the remarkable Lamperti representation of the inverse local time of a radial Ornstein-Uhlenbeck process
Francis Hirsch, Marc Yor
Bull. Belg. Math. Soc. Simon Stevin 20(3): 435-449 (august 2013). DOI: 10.36045/bbms/1378314508

Abstract

We give a description, in terms of ``pseudo-stable increasing process'', of the Lamperti process associated with the inverse local time of a radial Ornstein-Uhlenbeck process. Following Bertoin-Yor, we also express, in two particular cases, the law of the perpetuity associated with this inverse local time.

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Francis Hirsch. Marc Yor. "On the remarkable Lamperti representation of the inverse local time of a radial Ornstein-Uhlenbeck process." Bull. Belg. Math. Soc. Simon Stevin 20 (3) 435 - 449, august 2013. https://doi.org/10.36045/bbms/1378314508

Information

Published: august 2013
First available in Project Euclid: 4 September 2013

zbMATH: 1287.60048
MathSciNet: MR3129051
Digital Object Identifier: 10.36045/bbms/1378314508

Subjects:
Primary: 60J55, 60J60
Secondary: 60E07, 60G18, 60G52

Rights: Copyright © 2013 The Belgian Mathematical Society

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Vol.20 • No. 3 • august 2013
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