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Renewal series and square-root boundaries for Bessel processes
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Nathanael Enriquez, Universite Paris 10
Christophe Sabot, Université de Lyon 1
Marc Yor, Universite Paris 6
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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.
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Full text: PDF
Pages: 649-652
Published on: December 17, 2008
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Electronic Communications in Probability. ISSN: 1083-589X |
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