A new proof of Williams' decomposition of the Bessel process of dimension three with a look at last-hitting times

zbMATH Open1329.60275MaRDI QIDQ2349226

Marc Yor, F. Thomas Bruss

Publication date: 22 June 2015

Published in: Bulletin of the Belgian Mathematical Society - Simon Stevin (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bbms/1432840867

zbMATH Keywords

decompositionBessel processBrownian motionOrnstein-Uhlenbeck processstopping times\(1/e\)-law of best choicecompassionate-use clinical trialslast-hitting timesproportional increment process

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

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