A family of generalized gamma convoluted variables
نویسنده
چکیده
B. Roynette, P. ValloisM. Yor (3) 26/05/2008 (1) Institut Elie Cartan, Université Henri Poincaré, B.P. 239, 54506 Vandoeuvre les Nancy Cedex (2) Laboratoire de Probabilités et Modèles Aléatoires, Université Paris VI et VII, 4 place Jussieu Case 188 F 75252 Paris Cedex 05 (3) Institut Universitaire de France Abstract This paper consists of three parts : in the first part, we describe a family of generalized gamma convoluted (abbreviated as GGC) variables. In the second part, we use this description to prove that several r.v.’s, related to the length of excursions away from 0 for a recurrent linear diffusion on R+, are GGC. Finally, in the third part, we apply our results to the case of Bessel processes with dimension d = 2(1− α) (0 < d < 2, or 0 < α < 1).
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