JournalsrmiVol. 17, No. 3pp. 587–605

Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities

  • Paolo Baldi

    Università di Roma 'Tor Vergata', Italy
  • Enrico Cassadio Tarabusi

    Università di Roma La Sapienza, Italy
  • Alessandro Figà-Talamanca

    Università di Roma La Sapienza, Italy
  • Marc Yor

    Université Paris VI, France
Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities cover
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Abstract

We study the law of functionals whose prototype is 0+\int_0^{+\infty} eBs(ν)dWs(μ)e^{B{_s}^{(\nu)}} dW{_s}{^{(\mu)}}, where B(ν)B^{(\nu)}, W(μ)W^{(\mu)} are independent Brownian motions with drift. These functionals appear naturally in risk theory as well as in the study of invariant diffusions on the hyperbolic halfplane. Emphasis is put on the fact that the results are obtained in two independent, very different fashions (invariant diffusions on the hyperbolic halfplane and Bessel processes).

Cite this article

Paolo Baldi, Enrico Cassadio Tarabusi, Alessandro Figà-Talamanca, Marc Yor, Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities. Rev. Mat. Iberoam. 17 (2001), no. 3, pp. 587–605

DOI 10.4171/RMI/305