Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities

• Autores: Enrico Casadio Tarabusi, Paolo Baldi, Marc Yor, Alessandro Figà Talamanca
• Localización: Revista matemática iberoamericana, ISSN 0213-2230, Vol. 17, Nº 3, 2001, págs. 587-606
• Idioma: inglés
• DOI: 10.4171/rmi/305
• Títulos paralelos:
  • Distribuciones de difusión no simétricas en el semiplano hiperbólico y perpetuidades subordinadas.
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• Resumen

  • We study the law of functionals whose prototype is ?0+8 eBs(?) dWs(µ), where B(?) and W(µ) are independent Brownian motions with drift. These functionals appear naturally in risk theory as well as in the study of in variant diffusions on the hyperbolic half-plane. Emphasis is put on the fact that the results are obtained in two independent, very different fashions (invariant diffusions on the hyperbolic half-plane and Bessel processes).