Independent factorization of the last zero arcsine law for Bessel processes with drift

Hugo Panzo

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arXiv · 2010.00579

Independent factorization of the last zero arcsine law for Bessel processes with drift

Hugo Panzo

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Abstract

We show that the last zero before time $t$ of a recurrent Bessel process with drift starting at $0$ has the same distribution as the product of an independent right censored exponential random variable and a beta random variable. This extends a recent result of Schulte-Geers and Stadje (2017) from Brownian motion with drift to recurrent Bessel processes with drift. Our proof is intuitive and direct while avoiding heavy computations. For this we develop a novel additive decomposition for the square of a Bessel process with drift that may be of independent interest.

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Hugo Panzo. 2020-10-01. Independent factorization of the last zero arcsine law for Bessel processes with drift. https://arxiv.org/abs/2010.00579

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