Remarks on the density of the law of the occupation time for Bessel bridges and stable excursions

Smoothness and asymptotic behaviors of the probability densities of the occupation time are studied for Bessel bridges and stable excursions. The difficulty is that the densities are implicitly expressed using Riemann-Liouville fractional integrals.

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Year of publication:	2008
Authors:	Yano, Kouji ; Yano, Yuko
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 14, p. 2175-2180
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005211961