Further studies on square-root boundaries for Bessel processes

[摘要] We look at decompositions of perpetuities and apply them to the study of the distributions of hitting times of Bessel processes of two types of square root boundaries. These distributions are linked giving a new proof of some Mellin transforms results obtained by DeLong [6] and Yor [17]. Several random factorizations and characterizations of the studied distributions are established.

[学科分类] 统计和概率

[关键词] Bessel processes;exponential functionals;random affine equations;square-root boundaries