Excursion computations related to maxima of Bessel processes
Abstract
Pitman and Yor (1998) give identities between two σ-finite measures on path spaces relating to Bessel processes. For dimensions δ ∈ (2, 4) these measures are the excursion laws for Bessel processes of dimensions 4 − δ ∈ (0, 2). In this article, we use this result and the last exit decompositions of recurrent Bessel processes to derive results on the maxima of Bessel bridges and related results.
Fields of Study & Subjects
Stochastic processes and statistical mechanics
Stochastic processes and financial applications
Probability and Statistical Research
Publication details
- Journal / source
- Ars Mathematica Contemporanea
- Publication date
- 10 March 2026
- Language
- EN