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A KINGMAN CONVOLUTION APPROACH TO BESSEL PROCESSES
Kingman convolution radial characteristic function independent increment-type processes
2009/9/18
In this paper we study Bessel processes in terms of the Kingman
convolution method. In particular, we propose a higher dimensional
model of the Kingman convolution algebras.We show that every Bessel...
Eigenvalues of the Laguerre Process as Non-Colliding Squared Bessel Processes
Wishart and Laguerre ensembles and processes eigenvalues as diffusions non-colliding squared Bessel processes
2009/5/4
Let A(t) be an n-times-p matrix with independent standard complex Brownian entries and set M(t)=A(t)*A(t). This is a process version of the Laguerre ensemble and as such we shall refer to it as the La...
Renewal series and square-root boundaries for Bessel processes
Renewal series square-root boundaries Bessel processes
2009/3/23
We show how a description of Brownian exponential functionals as a renewal series gives access to the law of the hitting time of a square-root boundary by a Bessel process. This extends classical resu...