Selfdecomposable laws associated with hyperbolic functions

• Autorzy: Jurek Z. J. , Yor M.
• Języki publikacji: EN

Abstrakty

EN

It is shown that the hyperbolic functions can be associated with self-decomposable distributions (in short: SD probability distributions or Lévy class L of probability laws). Consequently, they admit associated background driving Lévy processes Y (BDLP’s Y). We interpret the distributions of Y (1) via Bessel squared processes, Bessel bridges and local times.

Słowa kluczowe

EN

hyperbolic characteristic functions; class L probability distributions; class SD probability distributions; selfdecomposability; Lévy process; Bessel squared process; Bessel bridge; local times

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2004
• Tom: Vol. 24, Fasc. 1
• Strony: 181--190
• Opis fizyczny: Bibliogr. 17 poz.

Twórcy

autor

Jurek Z. J.

• Institute of Mathematics, University of Wrocław, pl. Grunwaldzki 2/4, 50-384 Wrocław, Poland

autor

Yor M.

• Laboratoire de Probabilités, Université Pierre et Marie Curie, 175, rue du Chevaleret, 75013 Paris, France

Bibliografia

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