Further studies on square-root boundaries for Bessel processes

DOI10.1214/18-ECP139zbMATH Open1397.60079OpenAlexW2963006526MaRDI QIDQ1663749FDOQ1663749

Authors Larbi Alili, Hiroyuki Matsumoto

Publication date 23 August 2018

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1709.08923

zbMATH Keywords

Bessel processesexponential functionalssquare-root boundariesrandom affine equations

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Self-similar stochastic processes (60G18)

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.

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Cited in

(4)

• Square-root boundaries for Bessel processes and the hitting times of radial Ornstein-Uhlenbeck processes
• Renewal series and square-root boundaries for Bessel processes
• scientific article; zbMATH DE number 3965142 (Why is no real title available?)
• Turán inequalities and complete monotonicity for a class of entire functions

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