Further studies on square-root boundaries for Bessel processes

2017/09/26 by Alili, Larbi, Matsumoto, Hiroyuki
#60G18 #60G40 #60J60 #60J65 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1709.08923

Abstract

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.

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