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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.
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.
| 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: | 03 Aug 2021 15:33 |
| Publisher: | Wydawnictwo Uniwersytetu Wrocławskiego |
| ISSN: | 0208-4147 |
| OA Status: | Green |
| 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 |
Bertoin, Jean