Some perpetual integral functionals of the three-dimensional Bessel process

DOI10.1142/s0219493723500089zbMath1521.60048MaRDI QIDQ6038465

Yukihiro Tsuzuki

Publication date: 2 May 2023

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

Laplace transform; Skorokhod embedding problem; enlargements of filtrations; Dufresne's perpetuity

Mathematics Subject Classification ID

60J65: Brownian motion

60J60: Diffusion processes

33C10: Bessel and Airy functions, cylinder functions, ({}_0F_1)

33D70: Other basic hypergeometric functions and integrals in several variables