Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities (Q698303)
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scientific article; zbMATH DE number 1802555
| Language | Label | Description | Also known as |
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| English | Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities |
scientific article; zbMATH DE number 1802555 |
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Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities (English)
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15 December 2002
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Summary: We study the law of functionals whose prototype is \(\int^{+\infty}_0e^{B^{(\nu)}_s} dW_s^{\mu}\), where \(B^{(\nu)}\), \(W^{(\mu)}\) are independent Brownian motions with drift. These functionals appear naturally in risk theory as well as in the study of invariant diffusions on the hyperbolic half-plane. Emphasis is put on the fact that the results are obtained in two independent, very different fashions (invariant diffusions on the hyperbolic half-plane and Bessel processes).
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risk theory
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invariant diffusions
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Bessel processes
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