Self-similar processes with independent increments associated with Lévy and Bessel processes.

DOI10.1016/S0304-4149(02)00098-4zbMath1059.60052OpenAlexW2153986661MaRDI QIDQ1766032

Marc Yor, Monique Jeanblanc-Picqué, Jim W. Pitman

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(02)00098-4

zbMATH Keywords

Bessel processself-decomposable distributionindependent incrementsgeneralized Ornstein-Uhlenbeck processbackground driving Lévy processself-similar additive process

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Self-similar stochastic processes (60G18) Stochastic analysis (60H99)

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