Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities.
Paolo Baldi; Enrico Casadio Tarabusi; Alessandro Figà-Talamanca; Marc Yor
Revista Matemática Iberoamericana (2001)
- Volume: 17, Issue: 3, page 587-605
- ISSN: 0213-2230
Access Full Article
topAbstract
topHow to cite
topBaldi, Paolo, et al. "Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities.." Revista Matemática Iberoamericana 17.3 (2001): 587-605. <http://eudml.org/doc/39659>.
@article{Baldi2001,
abstract = {We study the law of functionals whose prototype is ∫0+∞ eBs(ν) dWs(μ),where B(ν) and W(μ) are independent Brownian motions with drift. These functionals appear naturally in risk theory as well as in the study of in variant diffusions on the hyperbolic half-plane. Emphasis is put on the fact that the results are obtained in two independent, very different fashions (invariant diffusions on the hyperbolic half-plane and Bessel processes).},
author = {Baldi, Paolo, Casadio Tarabusi, Enrico, Figà-Talamanca, Alessandro, Yor, Marc},
journal = {Revista Matemática Iberoamericana},
keywords = {Movimiento browniano; Proceso de difusión; Plano hiperbólico; Función densidad de probabilidad; Ecuaciones diferenciales estocásticas; risk theory; invariant diffusions; Bessel processes},
language = {eng},
number = {3},
pages = {587-605},
title = {Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities.},
url = {http://eudml.org/doc/39659},
volume = {17},
year = {2001},
}
TY - JOUR
AU - Baldi, Paolo
AU - Casadio Tarabusi, Enrico
AU - Figà-Talamanca, Alessandro
AU - Yor, Marc
TI - Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities.
JO - Revista Matemática Iberoamericana
PY - 2001
VL - 17
IS - 3
SP - 587
EP - 605
AB - We study the law of functionals whose prototype is ∫0+∞ eBs(ν) dWs(μ),where B(ν) and W(μ) are independent Brownian motions with drift. These functionals appear naturally in risk theory as well as in the study of in variant diffusions on the hyperbolic half-plane. Emphasis is put on the fact that the results are obtained in two independent, very different fashions (invariant diffusions on the hyperbolic half-plane and Bessel processes).
LA - eng
KW - Movimiento browniano; Proceso de difusión; Plano hiperbólico; Función densidad de probabilidad; Ecuaciones diferenciales estocásticas; risk theory; invariant diffusions; Bessel processes
UR - http://eudml.org/doc/39659
ER -
NotesEmbed ?
topTo embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.