Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
M. ABRAMOVITZ, I. STEGUN: Handbook of Mathematical Functions. New-York-Dover-1970.
M.T. BARLOW, S.D. JACKA, M. YOR: Inequalities for a couple of processes stopped at an arbitrary random time. To appear (1983).
B. DAVIS: On the Lp norms of stochastic integrals and other martingales. Duke Math. Journal, vol. 43, no 4, 697–704 (1976).
P. HARTMAN: Uniqueness of principal values, complete monotonicity of logarithmic derivatives of principal solutions and oscillation theorems. Math. Ann. 241, 257–281 (1979).
D. KENDALL: Pole-seeking Brownian Motion and Bird Navigation. Journal of the Royal Statistical Society. Series B, 36, no 3, p. 365–417, 1974.
J. KENT: Some probabilistic properties of Bessel functions. Ann. Prob. 6, 760–770 (1978).
J. PITMAN, M. YOR: Bessel processes and Infinitely divisible laws. In: "Stochastic Integrals". Lecture Notes in Maths 851. Springer (1981) (ed. D. Williams).
L. SHEPP: A first passage problem for the Wiener process. Ann. Math. Stat. 38 (1967), p. 1912–1914.
T. SHIGA, S. WATANABE: Bessel diffusions as a one-parameter family of diffusion processes. Z.f.W, 27 (1973), 37–46.
S. WATANABE: On Time Inversion of One-Dimensional Diffusion processes. Zeitschrift für Wahr. 31 (1975), 115–124.
G.N. WATSON: A treatise on the theory of Bessel functions. Second edition. Cambridge University Press (1966).
D. WILLIAMS: Path-decomposition and continuity of local time for one-dimensional diffusions, I Proc. London Math. Soc., Ser. 3, 28, 738–768 (1974).
M. YOR: Loi de l'indice du lacet Brownien, et distribution de Hartman-Watson. Z.f.W., 53, 71–95 (1980).
Author information
Authors and Affiliations
Editor information
Rights and permissions
Copyright information
© 1984 Springer-Verlag
About this paper
Cite this paper
Yor, M. (1984). On square-root boundaries for Bessel processes, and pole-seeking Brownian motion. In: Truman, A., Williams, D. (eds) Stochastic Analysis and Applications. Lecture Notes in Mathematics, vol 1095. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0099124
Download citation
DOI: https://doi.org/10.1007/BFb0099124
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-13891-4
Online ISBN: 978-3-540-39103-6
eBook Packages: Springer Book Archive