Persistence and exit times for some additive functionals of skew Bessel processes

DOI10.1007/S10959-019-00966-1MaRDI QIDQ2224967zbMATH OpenOpenAlexWikidataFDO

Authors Christophe Profeta

Publication date 4 February 2021

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1905.10196

zbMATH Keywords

Bessel processespersistence problemexit time problemskew processes

Mathematics Subject Classification ID

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

Abstract: Let X be some homogeneous additive functional of a skew Bessel process Y. In this note, we compute the asymptotics of the first passage time of X to some fixed level b, and study the position of Y when X exits a bounded interval [a, b]. As a by-product, we obtain the probability that X reaches the level b before the level a. Our results extend some previous works on additive functionals of Brownian motion by Isozaki and Kotani for the persistence problem, and by Lachal for the exit time problem.

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Cited in

(2)

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