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

Abstract

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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).

How to cite

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Baldi, 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 -

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