Marc Yor used to say that “Bessel processes are everywhere”. Partly in  J. Pitman, M. Yor, Bessel processes and infinitely divisible laws. BESSEL PROCESSES AND INFINITELY DIVISIBLE LAWS by. Jim PITMAN and Marc YOR (n). 1. INTRODUCTION. In recent years there has been a renewed. Theorem (Lévy–Khintchine formula) A probability law µ of a real- . To conclude our introduction to Lévy processes and infinite divisible distribu- tions, let us .. for x ∈ R where α,δ > 0, β ≤ |α| and K1(x) is the modified Bessel function of.
|Published (Last):||5 July 2007|
|PDF File Size:||14.69 Mb|
|ePub File Size:||5.2 Mb|
|Price:||Free* [*Free Regsitration Required]|
A class of infinitely divisible random variables.
Jim Pitman – Google Scholar Citations
On a stochastic difference equation and a representation of non-negative infinitely divisible random variables. Princeton University Press, Princeton, N. Convergence results for compound Poisson distributions and applications to the standard Luria-Delbruck distribution.
Some new tools for Dirichlet priors. Solution of the Fokker-Planck equation with a logarithmic potential – Some new results on random Dirichlet variances. Statistics, UC Berkeley, On the resultant of a large number of vibrations of the same pitch and of arbitrary phase – Lord Rayleigh On the Markov—Krein identity and quasi—invariance of the gamma process. Generalized Gamma Convolutions, Dirichlet means, Thorin measures, with explicit examples.
Theory Related Fields 85 — Solution of the Fokker-Planck equation with a logarithmic potential and mixed eigenvalue spectrum – Guarnieri, F. A decomposition of Bessel bridges – Nonlinear threshold behavior during the loss of Arctic Sea ice – Low-order stochastic mode reduction for a realistic barotropic model climate – The spectral representation of Bessel processes with constant drift: Monographs and Textbooks in Infinitepy and Applied Mathematics, AMS subject classifications: Special functions and their applications.
Bulletin of the American Mathematical Society 38 4, Revised edition, translated from the Russian and edited by Richard A.
A theory of the term structure of interest rates anx Potential theory of special subordinators and subordinate killed stable processes.
An occupation time theorem for a class of stochastic processes.
Bessel processes and infinitely divisible laws | BibSonomy
New Dirichlet mean identities. Princeton Mathematical Series, v.
On the transition densities for reflected diffusions – Email address for updates.