Existence and properties of pseudo-inverses for Bessel and related processes

Bernard Roynette (1, 2) , Marc Yor (3, 4)

1 IECN - Institut Élie Cartan de Nancy
2 CORIDA - Robust control of infinite dimensional systems and applications
3 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
4 IUF - Institut universitaire de France

It is shown that the tail probability of a Bessel process is the distributio function of a random time which is related to first and last passage times of Bessel processes

Mots clés: Bessel processes; Pseudo-inverses; Generalized Black-Scholes formulae

Domaines: Probabilités [math.PR]; Statistiques [math.ST]; Théorie [stat.TH]

Bernard Roynette, Marc Yor. Existence and properties of pseudo-inverses for Bessel and related processes. 2008. ⟨hal-00344697⟩