Projections of scaled Bessel processs

DOI10.1214/19-ECP246zbMath1488.60110arXiv1805.01404OpenAlexW2963756776MaRDI QIDQ2316579

Constantinos Kardaras, Johannes Ruf

Publication date: 6 August 2019

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.01404

zbMATH Keywords

Bessel processfilteringlocal timelocal martingale

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Local time and additive functionals (60J55)

Related Items (4)

Uniqueness in Cauchy problems for diffusive real-valued strict local martingales ⋮ Optional projection under equivalent local martingale measures ⋮ Filtration shrinkage, the structure of deflators, and failure of market completeness ⋮ Projections of scaled Bessel processs

Cites Work

• A one-dimensional diffusion hits points fast
• Beta-gamma random variables and intertwining relations between certain Markov processes
• Abel transform and integrals of Bessel local times
• Continuous strong Markov processes in dimension one
• Projections of scaled Bessel processs
• Filtration shrinkage, strict local martingales and the Föllmer measure
• On constants related to the choice of the local time at 0, and the corresponding Itô measure for Bessel processes with dimension d = 2(1 − α ), 0 < α < 1
• Bessel diffusions as a one-parameter family of diffusion processes
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