Persistence and exit times for some additive functionals of skew Bessel processes

Christophe Profeta (1)

1 LaMME - Laboratoire de Mathématiques et Modélisation d'Evry

Let X be some homogeneous additive functional of a skew Bessel process Y. In this note, we compute the asymptotics of the first passage time of X to some fixed level b, and study the position of Y when X exits a bounded interval [a, b]. As a by-product, we obtain the probability that X reaches the level b before the level a. Our results extend some previous works on additive functionals of Brownian motion by Isozaki and Kotani for the persistence problem, and by Lachal for the exit time problem.

Domaines: Probabilités [math.PR]

Christophe Profeta. Persistence and exit times for some additive functionals of skew Bessel processes. Journal of Theoretical Probability, 2019, pp.doi.org/10.1007/s10959-019-00966-1. ⟨hal-02137296⟩