Renewal series and square-root boundaries for Bessel processes
Résumé
We show how a description of Brownian exponential functionals as a renewal series gives access to the law of the hitting time of a square-root boundary by a Bessel process. This extends classical results by Breiman and Shepp, concerning Brownian motion, and recovers by different means, extensions for Bessel processes, obtained independently by Delong and Yor.
Origine : Fichiers produits par l'(les) auteur(s)
Loading...