Inverse local times of harmonic transformed Bessel processes

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概要

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• For a harmonic transform of a Bessel process with constant killing, the precise formula of the transition probabihty density is given. By using the representation of the transition probability density, we show that the inverse local time at the origin is a Gamma process. Our method is an analytic approach to some results obtained probabilistically by C. Donati-Martin and M. Yor in 2005.

• 奈良女子大学の論文
• 2007-03-31

著者

• 富崎 松代

  School of Interdisciplinary Research of Scientific Phenomena and Information Department of Mathemati

• 富崎 松代

  School Of Interdisciplinary Research Of Scientific Phenomena And Information Department Of Mathemati

関連論文

• Transition probability densities of birth and death processes with finite state space
• Inverse local times of harmonic transformed Bessel processes

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