Remarks on the density of the law of the occupation time for Bessel bridges and stable excursions

DOI10.1016/J.SPL.2008.02.006MaRDI QIDQ730730zbMATHOpenAlexWikidataFDO

Authors Kouji Yano, Yuko Yano

Publication date 30 September 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0706.3162

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Fractional derivatives and integrals (26A33) Local time and additive functionals (60J55)

Abstract: Smoothness and asymptotic behaviors are studied for the densities of the law of the occupation time on the positive line for Bessel bridges and the normalized excursion of strictly stable processes. The key role is played by these properties for functions defined by Riemann--Liouville fractional integrals.

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Cited in

(6)

• Two-time correlation and occupation time for the Brownian bridge and tied-down renewal processes
• Distributional properties of means of random probability measures
• Excursions away from a regular point for one-dimensional symmetric Lévy processes without Gaussian part
• On simulation and properties of the stable law
• Occupation times and Bessel densities
• Lamperti-type laws

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