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

January, 2002
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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