Invariance formulas for stopping times of squared Bessel process
From MaRDI portal
Publication:4685698
DOI10.1080/07362994.2018.1443014zbMath1401.60143OpenAlexW2789902687MaRDI QIDQ4685698
Maciej Wiśniewolski, Jacek Jakubowski
Publication date: 9 October 2018
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2018.1443014
stopping timestrong Markov propertyfirst hitting timefunctional of Brownian motionsquared Bessel processgamma and beta random variablesinvariance formulas
Continuous-time Markov processes on general state spaces (60J25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40)
Related Items
A note on switching property for squared Bessel process ⋮ Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Numeric solution of Volterra integral equations of the first kind with discontinuous kernels
- Hitting time for Bessel processes-walk on moving spheres algorithm (WoMS)
- Aspects of Brownian motion
- Exponential functionals of Brownian motion. I: Probability laws at fixed time
- Exponential functionals of Brownian motion. II: Some related diffusion processes
- On the excursion theory for linear diffusions
- Stopping times of Bessel processes
- Beta-gamma random variables and intertwining relations between certain Markov processes
- A survey and some generalizations of Bessel processes
- Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions.
- Hitting, occupation and inverse local times of one-dimensional diffusions: Martingale and excursion approaches
- On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
- Hitting times of Bessel processes
- On the distribution of verhulst process
- Fractional intertwinings between two Markov semigroups
- An Analogue of Pitman’s 2M — X Theorem for Exponential Wiener Functionals Part II: The Role of the Generalized Inverse Gaussian Laws
- The probability distributions of the first hitting times of Bessel processes
- The probability densities of the first hitting times of Bessel processes
- Eigenvalue expansions for diffusion hitting times
- Approximation Properties of Quadrature Methods for Volterra Integral Equations of the First Kind
- On some exponential functionals of Brownian motion
- L p estimates for stopping times of Bessel processes
- An analogue of Pitman’s 2M – X theorem for exponential Wiener functionals: Part I: A time-inversion approach
- Hitting time distributions of single points for 1-dimensional generalized diffusion processes
- Semi-stable Markov processes. I
- Continuous state branching processes
- A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration
- On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
