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  • 标题:Renewal series and square-root boundaries for Bessel processes
  • 本地全文:下载
  • 作者:Enriquez, Nathanael ; Sabot, Christophe ; Yor, Marc
  • 期刊名称:Electronic Communications in Probability
  • 印刷版ISSN:1083-589X
  • 出版年度:2008
  • 卷号:13
  • 期号:0
  • 页码:649-652
  • DOI:10.1214/ECP.v13-1436
  • 出版社:Electronic Communications in Probability
  • 摘要: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.
  • 关键词:Bessel processes, renewal series, exponential functionals, square-root boundaries;60G40, 60J57
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