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Interpretations in Terms of Brownian and Bessel Meanders of the Distribution of a Subordinated Perpetuity

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Lévy Processes

Abstract

The distributions of subordinated perpetuities are shown to be closely related to a number of extensions and variants of Lévy’s formula for the stochastic area of planar Brownian motion, which have been considered in the probabilistic literature in terms of Brownian and Bessel meanders.

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Author information

Authors and Affiliations

  1. Laboratoire de Probabilités et Modèles Aléatoires, Université Pierre et Marie Curie, 175 rue du Chevaleret, F-75013, Paris, France

    Marc Yor

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  1. Marc Yor
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Editor information

Editors and Affiliations

  1. Department of Mathematical Sciences, University of Aarhus, Dk-8000, Aarhus, Denmark

    Ole E. Barndorff-Nielsen

  2. School of ORIE, Cornell University, Ithaca, NY, 14853, USA

    Sidney I. Resnick

  3. Laboratory of Actuarial Mathematics, University of Copenhagen, Universitetsparken 5, DK-2100, Copenhagen, Denmark

    Thomas Mikosch

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Yor, M. (2001). Interpretations in Terms of Brownian and Bessel Meanders of the Distribution of a Subordinated Perpetuity. In: Barndorff-Nielsen, O.E., Resnick, S.I., Mikosch, T. (eds) Lévy Processes. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4612-0197-7_16

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  • DOI: https://doi.org/10.1007/978-1-4612-0197-7_16

  • Publisher Name: Birkhäuser, Boston, MA

  • Print ISBN: 978-1-4612-6657-0

  • Online ISBN: 978-1-4612-0197-7

  • eBook Packages: Springer Book Archive

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