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2018 Further studies on square-root boundaries for Bessel processes
Larbi Alili, Hiroyuki Matsumoto
Electron. Commun. Probab. 23: 1-9 (2018). DOI: 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.

Citation

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Larbi Alili. Hiroyuki Matsumoto. "Further studies on square-root boundaries for Bessel processes." Electron. Commun. Probab. 23 1 - 9, 2018. https://doi.org/10.1214/18-ECP139

Information

Received: 21 May 2018; Accepted: 29 May 2018; Published: 2018
First available in Project Euclid: 20 June 2018

zbMATH: 1397.60079
MathSciNet: MR3820129
Digital Object Identifier: 10.1214/18-ECP139

Subjects:
Primary: 60G40, 60J65
Secondary: 60G18, 60J60

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