Title of article
Self-similar processes with independent increments associated with Lévy and Bessel processes
Author/Authors
Monique Jeanblanc، نويسنده , , M. and Pitman، نويسنده , , J. and Yor، نويسنده , , M.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2002
Pages
9
From page
223
To page
231
Abstract
Wolfe (Stochastic Process. Appl. 12(3) (1982) 301) and Sato (Probab. Theory Related Fields 89(3) (1991) 285) gave two different representations of a random variable X1 with a self-decomposable distribution in terms of processes with independent increments. This paper shows how either of these representations follows easily from the other, and makes these representations more explicit when X1 is either a first or last passage time for a Bessel process.
Keywords
Self-decomposable distribution , Generalized Ornstein–Uhlenbeck-process , Background driving Lévy process , Bessel process , First and last passage times , Independent increments , Self-similar additive process
Journal title
Stochastic Processes and their Applications
Serial Year
2002
Journal title
Stochastic Processes and their Applications
Record number
1576975
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