Bessel processes and hyperbolic Brownian motions stopped at different random times

TL;DR

This paper investigates Bessel processes and hyperbolic Brownian motions stopped at random times, deriving their probability laws and governing equations, with applications to modeling particle motions in fractured media.

Contribution

It provides new explicit laws and PDEs for iterated Bessel and hyperbolic Brownian processes stopped at random times, including complex distributions like Student and Lamperti.

Findings

Derived probability laws for iterated Bessel and hyperbolic processes.

Established governing PDEs for these stochastic processes.

Connected processes to physical models of particle motion in fractured media.

Abstract

Iterated Bessel processes R^\gamma(t), t>0, \gamma>0 and their counterparts on hyperbolic spaces, i.e. hyperbolic Brownian motions B^{hp}(t), t>0 are examined and their probability laws derived. The higher-order partial differential equations governing the distributions of I_R(t)=_1R^\gamma(_2R^\gamma(t)), t>0 and J_R(t) =_1R^\gamma(|_2R^\gamma(t)|^2), t>0 are obtained and discussed. Processes of the form R^\gamma(T_t), t>0, B^{hp}(T_t), t>0 where T_t=\inf{s: B(s)=t} are examined and numerous probability laws derived, including the Student law, the arcsin laws (also their asymmetric versions), the Lamperti distribution of the ratio of independent positively skewed stable random variables and others. For the process R^{\gamma}(T^\mu_t), t>0 (where T^\mu_t = \inf{s: B^\mu(s)=t} and B^\mu is a Brownian motion with drift \mu) the explicit probability law and the governing equation are obtained. For the hyperbolic Brownian motions on the Poincar\'e half-spaces H^+_2, H^+_3 we study B^{hp}(T_t), t>0 and the corresponding governing equation. Iterated processes are useful in modelling motions of particles on fractures idealized as Bessel processes (in Euclidean spaces) or as hyperbolic Brownian motions (in non-Euclidean spaces).