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arXiv · 1709.08923

Further studies on square-root boundaries for Bessel processes

Larbi Alili·Hiroyuki Matsumoto
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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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Larbi Alili, Hiroyuki Matsumoto. 2018-05-21. Further studies on square-root boundaries for Bessel processes. https://arxiv.org/abs/1709.08923

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