On a particular class of self-decomposable random variables : the durations of Bessel excursions straddling independent exponential times

• Autorzy: Bertoin J. , Fujita T. , Roynette B. , Yor M.
• Języki publikacji: EN

Abstrakty

EN

The distributional properties of the duration of a recurrent Bessel process straddling an independent exponential time are studied in detail. Although our study may be considered as a particular case of Winkel’s in [25], the infinite divisibility structure of these Bessel durations is particularly rich and we develop algebraic properties for a family of random variables arising from the Lévy measures of these durations.

Słowa kluczowe

EN

Bessel processes; self-decomposability; beta-gamma algebra; general gamma convolutions

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2006
• Tom: Vol. 26, Fasc. 2
• Strony: 315--366
• Opis fizyczny: Bibliogr. 27 poz., tab.

Twórcy

autor

Bertoin J.

• Laboratoire de Probabilités et Modèles Aléatoires, Université Pierre et Marie Curie, Case 188, 4 place Jussieu, 75252 Paris Cedex 05

autor

Fujita T.

• Graduate School of Commerce and Management, Hitotsubashi University, Naka 2.1, Kunitachi, Tokyo, 186.8601 Japan

autor

Roynette B.

• Institut Elie Cartan, Université Henri Poincaré, B.P. 239, 54506 Vandoeuvre les Nancy Cedex

autor

Yor M.

• Laboratoire de Probabilités et Modèles Aléatoires, Université Pierre et Marie Curie, Case 188, 4 place Jussieu, 75252 Paris Cedex 05

Bibliografia

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