A note on switching property for squared Bessel process

DOI10.1007/s10986-020-09490-wzbMath1468.60093OpenAlexW3073015550MaRDI QIDQ831325

Jacek Jakubowski, Maciej Wiśniewolski

Publication date: 11 May 2021

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-020-09490-w

zbMATH Keywords

stopping timestrong Markov propertyfunctional of Brownian motionsquared Bessel process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40)

Uses Software

• DLMF

Cites Work

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