Renewal series and square-root boundaries for Bessel processes
Probability
2008-12-18 v1
Abstract
We show how a description of Brownian exponential functionals as a renewal series gives access to the law of the hitting time of a square-root boundary by a Bessel process. This extends classical results by Breiman and Shepp, concerning Brownian motion, and recovers by different means, extensions for Bessel processes, obtained independently by Delong and Yor.
Keywords
Cite
@article{arxiv.0806.3197,
title = {Renewal series and square-root boundaries for Bessel processes},
author = {Nathanael Enriquez and Christophe Sabot and Marc Yor},
journal= {arXiv preprint arXiv:0806.3197},
year = {2008}
}