Further studies on square-root boundaries for Bessel processes
Probability
2018-05-22 v2
Abstract
We look at decompositions of perpetuities and apply that 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 David M. DeLong and M. Yor. Several random factorizations and characterizations of the studied distributions are established.
Keywords
Cite
@article{arxiv.1709.08923,
title = {Further studies on square-root boundaries for Bessel processes},
author = {Larbi Alili and Hiroyuki Matsumoto},
journal= {arXiv preprint arXiv:1709.08923},
year = {2018}
}