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

DOI10.1007/S10959-019-00966-1zbMATH Open1469.60251arXiv1905.10196OpenAlexW2992262850WikidataQ126649659 ScholiaQ126649659MaRDI QIDQ2224967FDOQ2224967

Authors: Christophe Profeta 

Publication date: 4 February 2021

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

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.

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

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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)

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Cited In (2)

• On the semi-group of a scaled skew Bessel process
• Stochastic processes under constraints. Abstracts from the workshop held September 27 -- October 3, 2020 (hybrid meeting)

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