A family of generalized gamma convoluted variables

• Autorzy: Roynette R. , Vallois P. , Yor M.
• Języki publikacji: EN

Abstrakty

EN

This paper consists of three parts: in the first part, we describe a family of generalized gamma convoluted (abbreviated as GGC) variables. In the second part, we use this description to prove that several r.v.’s, related to the length of excursions away from 0 for a recurrent linear diffusion on R₊, are GGC. Finally, in the third part, we apply our results to the case of Bessel processes with dimension d = 2(1 − α), where 0 < d < 2 or 0 < α< 1.

Słowa kluczowe

EN

generalized gamma convoluted; GGC variables; lengths of excursions; Bessel processes

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2009
• Tom: Vol. 29, Fasc. 2
• Strony: 181--204
• Opis fizyczny: Bibliogr. 12 poz.

Twórcy

autor

Roynette R.

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

autor

Vallois P.

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

autor

Yor M.

• Laboratoire de Probabilités et Modèles Aléatoires, Universités Paris VI et VII, 4 place Jussieu, Case 188, F-75252 Paris Cedex 05

Bibliografia

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