A FAMILY OF GENERALIZED GAMMA CONVOLUTED VARIABLES
B. Roynette
P. Vallois
M. Yor
Abstract: 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 for a recurrent linear diffusion on , are GGC. Finally, in the
third part, we apply our results to the case of Bessel processes with dimension
, where or .
2000 AMS Mathematics Subject Classification: 60J25, 60G51, 60E07, 60E05.
Keywords and phrases: GGC variables, lengths of excursions, Bessel processes.