On certain integral functionals of squared Bessel processes

DOI10.1080/17442508.2015.1026344zbMath1337.60186arXiv1209.4919OpenAlexW1959859625MaRDI QIDQ2804020

Umut Çetin

Publication date: 27 April 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.4919

zbMATH Keywords

integral functionalsfirst passage timesmodified Bessel functionssubordinatorBessel processessmall deviationslast passage timesChung's law of the iterated logarithminterest rate derivativesnon-homogeneous Feller jump process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Strong limit theorems (60F15) Diffusion processes (60J60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Limit theorems in probability theory (60F99)

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Persistence and exit times for some additive functionals of skew Bessel processes

Cites Work

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• Analysis of continuous strict local martingales via \(h\)-transforms
• Small deviations of general Lévy processes
• A survey and some generalizations of Bessel processes
• Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches
• Small ball probabilities for Gaussian Markov processes under the \(L_p\)-norm.
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Chung’s law for integrated Brownian motion

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