arXiv:1709.08923 Abstract | arXiv Analytics

arXiv:1709.08923 [math.PR]Abstract References Reviews Resources

Further studies on square-root boundaries for Bessel processes

Published 2017-09-26Version 1

We look at decompositions of perpetuities and apply that to the study of the distributions of hitting times of Bessel processes of two types of square root boundaries. These distributions are linked giving a new proof of some Mellin transforms results obtained by David M. DeLong and M. Yor. Several random factorizations and characterizations of the studied distributions are established.

Categories: math.PR

Subjects: 60G40, 60J65, 60G18, 60J60

Keywords: bessel processes, square-root boundaries, square root boundaries, distributions, mellin transforms results

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