Invariance formulas for stopping times of squared Bessel process

DOI10.1080/07362994.2018.1443014MaRDI QIDQ4685698zbMATHOpenAlexWikidataFDO

Authors Maciej Wiśniewolski, Jacek Jakubowski

Publication date 9 October 2018

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2018.1443014

zbMATH Keywords

stopping timefirst hitting timefunctional of Brownian motionsquared Bessel processstrong Markov propertygamma and beta random variablesinvariance formulas

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(3)

• A note on switching property for squared Bessel process
• Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions
• Stopping times of Bessel processes

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