A comparison of sample path properties for the inverse Gaussian and Bessel processes
Barthel Wayne Huff · Scandinavian Actuarial Journal · 1974
The Levy parameters of the inverse gaussian distribution are obtained. Indices for inverse gaussian processes and Bessel processes are computed and used to compare small time sample path properties of the two classes of stochastic processes. The asymptotic behavoir at infinity of inverse gaussian and Bessel processes is discussed. It is shown that the inverse gaussian distribution corresponds to no random passage time.