Explicit construction of a dynamic Bessel bridge of dimension 3

DOI10.1214/EJP.v18-1907zbMath1290.60075arXiv1302.7128MaRDI QIDQ388880

Albina Danilova, Umut Çetin, Luciano Campi

Publication date: 17 January 2014

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

Full work available at URL: https://arxiv.org/abs/1302.7128

zbMATH Keywords

filteringenlargement of filtrationinsider tradingmartingale problemdynamic Bessel bridge

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Foundations of stochastic processes (60G05)

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