Self-similar processes with independent increments associated with Levy and Bessel processes
Report Number
608
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.
PDF File
Postscript File