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On a particular class of self-decomposable random variables: the durations of Bessel excursions straddling independent exponential times


Bertoin, Jean; Fujita, T; Roynette, B; Yor, M (2006). On a particular class of self-decomposable random variables: the durations of Bessel excursions straddling independent exponential times. Probability and Mathematical Statistics, 26(2):315-366.

Abstract

The distributional properties of the duration of a recurrent Bessel process straddling an independent exponential time are studied in detail. Although our study may be considered as a particular case of Winkel’s in [25], the infinite divisibility structure of these Bessel durations is particularly rich and we develop algebraic properties for a family of random variables arising from the Lévy measures of these durations.

Abstract

The distributional properties of the duration of a recurrent Bessel process straddling an independent exponential time are studied in detail. Although our study may be considered as a particular case of Winkel’s in [25], the infinite divisibility structure of these Bessel durations is particularly rich and we develop algebraic properties for a family of random variables arising from the Lévy measures of these durations.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:07 Faculty of Science > Institute of Mathematics
Dewey Decimal Classification:510 Mathematics
Language:English
Date:2006
Deposited On:29 May 2013 15:17
Last Modified:05 Apr 2016 16:47
Publisher:Wydawnictwo Uniwersytetu Wrocławskiego
ISSN:0208-4147
Free access at:Official URL. An embargo period may apply.
Official URL:http://www.math.uni.wroc.pl/~pms/publicationsArticle.php?nr=26.2&nrA=5&ppB=315&ppE=366
Related URLs:http://www.ams.org/mathscinet-getitem?mr=2325310
http://www.zentralblatt-math.org/zbmath/search/?q=an%3A1123.60063

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