Self-similar processes with independent increments associated with Levy and Bessel processes

Self-similar processes with independent increments associated with Levy and Bessel processes

Report Number
608
Authors
M. Jeanblanc and J. Pitman and M. Yor
Citation
PDf
Abstract

Wolfe and Sato gave two different representations of a random variable X with a self-decomposable distribution in terms of processes with independent increments. This paper shows how either of these representations follows easily from the other, and makes these representations more explicit when X is either a first or last passage time for a Bessel process.

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