Invariance formulas for stopping times of squared Bessel process

@inproceedings{Jakubowski2018InvarianceFF,
  title={Invariance formulas for stopping times of squared Bessel process},
  author={Jacek Jakubowski and Maciej Wiśniewolski},
  year={2018}
}
ABSTRACTThe invariance formulas for stopping times of squared Bessel processes with positive index are presented. For a stopping time τ satisfying some relatively mild assumptions and every positive Borel function f, we have the invariance formula where and γμ is a gamma random variable independent of σ(τ, R(τ)). The second invariance formula is where K is a constant and Δμ is an explicitly given function. The applications of invariance formulas are presented. In particular, new results on the… CONTINUE READING