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Renewal series and square-root boundaries for Bessel processes


 
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1. Title Title of document Renewal series and square-root boundaries for Bessel processes
 
2. Creator Author's name, affiliation, country Nathanael Enriquez; Universite Paris 10
 
2. Creator Author's name, affiliation, country Christophe Sabot; Université de Lyon 1
 
2. Creator Author's name, affiliation, country Marc Yor; Universite Paris 6
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Bessel processes, renewal series, exponential functionals, square-root boundaries
 
3. Subject Subject classification 60G40, 60J57
 
4. Description Abstract We show how a description of Brownian exponential functionals as a renewal series gives access to the law of the hitting time of a square-root boundary by a Bessel process. This extends classical results by Breiman and Shepp, concerning Brownian motion, and recovers by different means, extensions for Bessel processes, obtained independently by Delong and Yor.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2008-12-17
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1436
 
10. Identifier Digital Object Identifier 10.1214/ECP.v13-1436
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 13
 
12. Language English=en
 
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