Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities
Paolo BaldiUniversità di Roma 'Tor Vergata', Italy
Enrico Cassadio TarabusiUniversità di Roma La Sapienza, Italy
Alessandro Figà-TalamancaUniversità di Roma La Sapienza, Italy
Marc YorUniversité Paris VI, France
We study the law of functionals whose prototype is , where , 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. 587–605DOI 10.4171/RMI/305