Persistence and exit times for some additive functionals of skew Bessel processes - Archive ouverte HAL
Article Dans Une Revue Journal of Theoretical Probability Année : 2019

Persistence and exit times for some additive functionals of skew Bessel processes

Résumé

Let X be some homogeneous additive functional of a skew Bessel process Y. In this note, we compute the asymptotics of the first passage time of X to some fixed level b, and study the position of Y when X exits a bounded interval [a, b]. As a by-product, we obtain the probability that X reaches the level b before the level a. Our results extend some previous works on additive functionals of Brownian motion by Isozaki and Kotani for the persistence problem, and by Lachal for the exit time problem.
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Dates et versions

hal-02137296 , version 1 (22-05-2019)

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Christophe Profeta. Persistence and exit times for some additive functionals of skew Bessel processes. Journal of Theoretical Probability, 2019, pp.doi.org/10.1007/s10959-019-00966-1. ⟨hal-02137296⟩
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