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

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  • Yano, Kouji
  • Yano, Yuko

Abstract

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.

Suggested Citation

  • Yano, Kouji & Yano, Yuko, 2008. "Remarks on the density of the law of the occupation time for Bessel bridges and stable excursions," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2175-2180, October.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:14:p:2175-2180
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    References listed on IDEAS

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    1. Fitzsimmons, P. J. & Getoor, R. K., 1995. "Occupation time distributions for Lévy bridges and excursions," Stochastic Processes and their Applications, Elsevier, vol. 58(1), pages 73-89, July.
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    Cited by:

    1. Antonio Lijoi & Igor Pruenster, 2009. "Distributional Properties of means of Random Probability Measures," ICER Working Papers - Applied Mathematics Series 22-2009, ICER - International Centre for Economic Research.
    2. Luc Devroye & Lancelot James, 2014. "On simulation and properties of the stable law," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(3), pages 307-343, August.

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