Some perpetual integral functionals of the three-dimensional Bessel process

DOI10.1142/S0219493723500089MaRDI QIDQ6038465zbMATH OpenOpenAlexFDO

Authors Yukihiro Tsuzuki

Publication date 2 May 2023

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1142/s0219493723500089

zbMATH Keywords

Dufresne's perpetuityenlargements of filtrationsLaplace transformSkorokhod embedding problem

Mathematics Subject Classification ID

Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Other basic hypergeometric functions and integrals in several variables (33D70) Diffusion processes (60J60) Brownian motion (60J65)

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Cited in

(5)

• Abel transform and integrals of Bessel local times
• On hyperbolic Bessel processes and beyond
• Perpetual integral functionals of diffusions and their numerical computations
• scientific article; zbMATH DE number 2213810 (Why is no real title available?)
• scientific article; zbMATH DE number 4188924 (Why is no real title available?)

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