Results 281 to 290 of about 17,257,924 (313)

Convergence of branching processes to the local time of a Bessel process

Random Structures & Algorithms, 1998
We study Galton–Watson branching processes conditioned on the total progeny to be n which are scaled by a sequence cn tending to infinity as . It is shown that this process weakly converges to the total local time of a two-sided three-dimensional Bessel ...
Bernhard Gittenberger
semanticscholar   +4 more sources

Bessel Process of Order Zero

, 1996
A. Borodin, P. Salminen
semanticscholar   +3 more sources

A ratio inequality for Bessel processes

Statistics & Probability Letters, 2004
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bei Zhu, Litan Yan
openaire   +2 more sources

A boundary crossing probability for the Bessel process

Advances in Applied Probability, 1998
Analytic approximations are derived for the distribution of the first crossing time of a straight-line boundary by a d-dimensional Bessel process and its discrete time analogue. The main ingredient for the approximations is the conditional probability that the process crossed the boundary before time m, given its location beneath the boundary at time m.
R. Betensky
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Polling Systems in Heavy Traffic: A Bessel Process Limit

Mathematics of Operations Research, 1998
This paper studies the classical polling model under the exhaustive-service assumption; such models continue to be very useful in performance studies of computer/communication systems.
E. Coffman, A. Puhalskii, M. Reiman
semanticscholar   +1 more source

Crossing probabilities for a square root boundary by a bessel process

, 1981
Probabilities for Wiener and Bessel processes to cross a square root boundary are calculated and the Mellin transform of the distribution of the associated stopping time is given.The transform is inverted and a table of critical values for the crossing ...
David M. De Long
semanticscholar   +1 more source

Squared Bessel Processes

2010
Squares of Bessel processes enjoy both an additivity property and a scaling property, which are, arguably, the main reasons why these processes occur naturally in a number of Brownian, or linear diffusions, studies. Keywords: additivity property; Ray–Knight theorems for Brownian local times; Lamperti's representation in terms of geometric ...
openaire   +3 more sources

Bessel functions: parallel display and processing

Optics Letters, 1994
We present an optical setup that converts planar binary curves into two-dimensional amplitude distributions, which are proportional, along one axis, to the Bessel function of order n, whereas along the other axis the order n increases. This Bessel displayer can be used for parallel Bessel transformation of a signal.
Jorge Ojeda-Castaneda, Adolf W. Lohmann, Alfonso Serrano-Heredia   +2 more
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BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES

Mathematical Finance, 1993
Using Bessel processes, one can solve several open problems involving the integral of an exponential of Brownian motion. This point will be illustrated with three examples. The first one is a formula for the Laplace transform of an Asian option which is “out of the money.”The second example concerns volatility misspecification in portfolio insurance ...
Hélyette Geman, Marc Yor
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Iterated integrals with respect to Bessel processes

Statistics & Probability Letters, 2005
The authors work with a filtered complete probability \((\Omega,\mathcal{F},\mathcal{F_t},P)\) satisfying the usual conditions, and let \(B=(B_t)_{t \geq 0}\) be a standard Brownian motion starting at zero. For any continuous process \(X\) we denote \(X_t^*=\sup_{0 \leq s \leq t} | X_s| \) and \(X*=X_{\infty}^*\).
Jingyun Ling, Litan Yan
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