Related papers: On hyperbolic Bessel processes and beyond
A number of new definite integrals involving Bessel functions are presented. These have been derived by finding new integral representations for the product of two Bessel functions of different order and argument in terms of the generalized…
The aim of this paper is to present the new results concerning some functionals of Brownian motion with drift and present their applications in financial mathematics. We find a probabilistic representation of the Laplace transform of…
This paper outlines a method where a brachistochrone is developed for the hyperbolic plane. This technique is then used to calculate the Fubini-Study metric and consequent Laplacian operator. We discuss the various systems of eigenfunctions…
Iterated Bessel processes R^\gamma(t), t>0, \gamma>0 and their counterparts on hyperbolic spaces, i.e. hyperbolic Brownian motions B^{hp}(t), t>0 are examined and their probability laws derived. The higher-order partial differential…
Using Jacobi's identity we derive a simple expression for the Bessel functions of integer order in terms of combinations of powers and hyperbolic functions of the same argument.
New index transforms are investigated, which contain as the kernel products of the Bessel and modified Bessel functions. Mapping properties and invertibility in Lebesgue spaces are studied for these operators. Relationships with the…
A new stochastic process is introduced and considered - squared Bessel process with special stochastic time. The analogues of fundamental properties for Brownian motion are deduced for squared Bessel process. In particular an analogue of…
We present some results on Bernstein processes which are Brownian diffusions that appear in Euclidean Quantum Mechanics: We express the distributions of these processes with the help of those of Bessel processes. We then determine two…
Considering the kernel of an integral operator intertwining two realizations of the group of motions of the pseudo-Euclidian space, we derive two formulas for series containing Whittaker's functions or Weber's parabolic cylinder functions.…
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…
Let $(X_t)_{t\geq0}$ be the $n$-dimensional hyperbolic Brownian motion, that is the diffusion on the real hyperbolic space $\D^n$ having the Laplace-Beltrami operator as its generator. The aim of the paper is to derive the formulas for the…
In this paper we derive martingale estimating functions for the dimensionality parameter of a Bessel process based on the eigenfunctions of the diffusion operator. Since a Bessel process is non-ergodic and the theory of martingale…
This article shows a Bessel bridge representation for the transition density of Brownian motion on the Poincare space. This transition density is also referred to as the heat kernel on the hyperbolic space in differential geometry…
We write, for geometric index values, a probabilistic proof of the product formula for spherical Bessel functions. Our proof has the merit to carry over without any further effort to Bessel-type hypergeometric functions of one matrix…
Consider the $\lambda$-Green function and the $\lambda$-Poisson kernel of a Lipschitz domain $U\subset \mathbb H^n=\left\{x\in\mathbb R^n:x_n>0\right\}$ for hyperbolic Brownian motion with drift. We provide several relationships that…
For some discrete parameters $k\ge0$, multivariate (Dunkl-)Bessel processes on Weyl chambers $C$ associated with root systems appear as projections of Brownian motions without drift on Euclidean spaces $V$, and the associated transition…
This paper is concerned with the limit laws of the extreme order statistics derived from a symmetric Laplace walk. We provide two different descriptions of the point process of the limiting extreme order statistics: a branching…
We consider a class of stochastic processes containing the classical and well-studied class of Squared Bessel processes. Our model, however, allows the dimension be a function of the time. We first give some classical results in a larger…
We discuss the propagation of harmonic and transient waves for systems governed by a wave equation with memory whose integral kernel involves ratios of modified Bessel functions of the first kind in the Laplace domain. In particular, the…
In the first part of this paper, we express the generalized Bessel function associated with dihedral systems and a constant multiplicity function as a infinite series of confluent Horn functions. The key ingredient leading to this…