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ON A PARTIICUILAR CLASS OF SELF-DECOMPONSABlLE RAND0M VARIABLES:THE DURATIONS OP BESSEL EXCURSIONS-STRADDLING INDEPENDENT EXPONENTIAL TIMES
Bessel processes self-decomposability beta-gamma algebra general gamma convolutions
2009/9/18
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
ca...
Excursions Into a New Duality Relation for Diffusion Processes
Excursions Diffusion Processes
2009/5/12
This work was motivated by the recent work by H. Dette, J. Pitman and W.J. Studden on a new duality relation for random walks. In this note we consider the diffusion process limit of their result, and...