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1 IECN - Institut Élie Cartan de Nancy 2 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

Abstract : This paper consists of three parts: in the first part, we describe a family of generalized gamma convoluted abbreviated as GGC variables. In the second part, we use this description toprove that several r.v.-s, related to the length of excursions away from 0 for a recurrent linear diffusion on $\Bbb R +$, are GGC. Finally, in the third part, we apply our results to the case of Bessel processes with dimension $d = 21 - \alpha0 < d < 2, or 0 < \alpha < 1.

Author: Bernard Roynette - Pierre Vallois - Marc Yor -

Source: https://hal.archives-ouvertes.fr/


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