Interpretations in Terms of Brownian and Bessel Meanders of the Distribution of a Subordinated Perpetuity

Marc Yor ()
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Marc Yor: Université Pierre et Marie Curie, Laboratoire de Probabilités et Modèles Aléatoires

A chapter in Lévy Processes, 2001, pp 361-375 from Springer

Abstract: Abstract The distributions of subordinated perpetuities are shown to be closely related to a number of extensions and variants of Lévy’s formula for the stochastic area of planar Brownian motion, which have been considered in the probabilistic literature in terms of Brownian and Bessel meanders.

Keywords: Brownian Motion; Infinitesimal Generator; Asian Option; Bessel Process; Stationary Markov Process (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4612-0197-7_16

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DOI: 10.1007/978-1-4612-0197-7_16

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