Bessel processes and hyperbolic Brownian motions stopped at different random times

Mirko D'Ovidio and Enzo Orsingher

Stochastic Processes and their Applications, 2011, vol. 121, issue 3, 441-465

Abstract: Iterated Bessel processes R[gamma](t),t>0,[gamma]>0 and their counterparts on hyperbolic spaces, i.e. hyperbolic Brownian motions Bhp(t),t>0 are examined and their probability laws derived. The higher-order partial differential equations governing the distributions of and are obtained and discussed. Processes of the form R[gamma](Tt),t>0,Bhp(Tt), t>0 where are examined and numerous probability laws derived, including the Student law, the arcsine laws (also their asymmetric versions), the Lamperti distribution of the ratio of independent positively skewed stable random variables and others. For the random variable (where and B[mu] is a Brownian motion with drift [mu]), the explicit probability law and the governing equation are obtained. For the hyperbolic Brownian motions on the Poincaré half-spaces , (of respective dimensions 2,3) we study Bhp(Tt),t>0 and the corresponding governing equation. Iterated processes are useful in modelling motions of particles on fractures idealized as Bessel processes (in Euclidean spaces) or as hyperbolic Brownian motions (in non-Euclidean spaces).

Keywords: Iterated; and; subordinated; Bessel; process; Iterated; Brownian; first-passage; times; Subordinated; hyperbolic; Brownian; motions; Higher-order; PDE (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (1)

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