Bessel processes and hyperbolic Brownian motions stopped at different random times

DOI10.1016/J.SPA.2010.11.002zbMATH Open1223.60065arXiv1003.6085OpenAlexW2006453891MaRDI QIDQ550146FDOQ550146

Enzo Orsingher, Mirko D'Ovidio

Publication date: 8 July 2011

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

Abstract: Iterated Bessel processes R^gamma(t), t>0, gamma>0 and their counterparts on hyperbolic spaces, i.e. hyperbolic Brownian motions B^{hp}(t), t>0 are examined and their probability laws derived. The higher-order partial differential equations governing the distributions of I_R(t)=_1R^gamma(_2R^gamma(t)), t>0 and J_R(t) =_1R^gamma(|_2R^gamma(t)|^2), t>0 are obtained and discussed. Processes of the form R^gamma(T_t), t>0, B^{hp}(T_t), t>0 where T_t=inf{s: B(s)=t} are examined and numerous probability laws derived, including the Student law, the arcsin laws (also their asymmetric versions), the Lamperti distribution of the ratio of independent positively skewed stable random variables and others. For the process R^{gamma}(T^mu_t), t>0 (where T^mu_t = inf{s: B^mu(s)=t} and B^mu is a Brownian motion with drift mu) the explicit probability law and the governing equation are obtained. For the hyperbolic Brownian motions on the Poincar'e half-spaces H^+_2, H^+_3 we study B^{hp}(T_t), t>0 and the corresponding governing equation. Iterated processes are useful in modelling motions of particles on fractures idealized as Bessel processes (in Euclidean spaces) or as hyperbolic Brownian motions (in non-Euclidean spaces).

Full work available at URL: https://arxiv.org/abs/1003.6085

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zbMATH Keywords

high-order PDEiterated and subordinated Bessel processiterated Brownian first-passage timessubordinated hyperbolic Brownian motions

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Fractional derivatives and integrals (26A33)

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• Drifted Brownian motions governed by fractional tempered derivatives
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