A survey and some generalizations of Bessel processes
type: Item
instance of: scholarly article
title: A survey and some generalizations of Bessel processes
zbMATH Open document ID: 1038.60079
author: Anja Göing-Jaeschke
author: Marc Yor
published in: Bernoulli
publication date: 2003-01-01T00:00:00Z
review text: Explicit expressions for the Laplace transforms of first hitting times by (squared) radial Ornstein-Uhlenbeck processes, in particular Bessel processes, are derived. Furthermore, Bessel and squared Ornstein-Uhlenbeck processes with negative dimensions or negative starting points are analyzed.
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60J70
zbMATH DE Number: 1941480
zbMATH Keywords: Bessel processes
zbMATH Keywords: squared Ornstein-Uhlenbeck processes
zbMATH Keywords: hitting times
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.3150/bj/1068128980
OpenAlex ID: W2057864604
DOI: 10.3150/BJ/1068128980
description: scientific article; zbMATH DE number 1941480