Bessel bridges decomposition with varying dimension: applications to finance

DOI10.1007/s10959-013-0496-xzbMath1307.60077arXiv1205.0711OpenAlexW2126660031MaRDI QIDQ482808

Gabriel Faraud, Stéphane Goutte

Publication date: 6 January 2015

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

Full work available at URL: https://arxiv.org/abs/1205.0711

zbMATH Keywords

Laplace transformsquared Bessel processSDEfinancial applicationsBessel bridges decompositionLévy-Itō representation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) General theory of stochastic processes (60G07) Financial applications of other theories (91G80) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Credit risk (91G40)

Related Items (2)

The Gorin-Shkolnikov identity and its random tree generalization ⋮ On matching diffusions, Laplace transforms and partial differential equations

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