Results 251 to 260 of about 17,710,470 (300)

Transient Nearest Neighbor Random Walk and Bessel Process

, 2008
We prove a strong invariance principle between a transient Bessel process and a certain nearest neighbor (NN) random walk that is constructed from the former by using stopping times.
E. Csáki, A. Földes, P. Révész
semanticscholar   +1 more source

BESSEL PROCESSES, STOCHASTIC VOLATILITY, AND TIMER OPTIONS

Mathematical Finance, 2010
Motivated by analytical valuation of timer options (an important innovation in realized variance‐based derivatives), we explore their novel mathematical connection with stochastic volatility and Bessel processes (with constant drift). Under the Heston (1993) stochastic volatility model, we formulate the problem through a first‐passage time problem on ...
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A Quantum extension of transient Bessel processes

Random Operators and Stochastic Equations, 1997
Quantum extensions of several classical Markov processes have been obtained by \textit{P. A. Meyer} [``Quantum probability for probabilists'' (1993; Zbl 0773.60098)] and \textit{K. R. Parthasarathy} [``An introduction to quantum stochastic calculus'' (1992; Zbl 0751.60046)] employing the Hudson-Parthasarathy quantum stochastic calculus.
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Functionals of Squared Bessel Processes

2013
In this chapter, scalar- and multidimensional processes based on the squared Bessel process are discussed and subsequently applied in the context of the benchmark approach. In a first section, results from the literature regarding the squared Bessel process and related processes, namely the Bessel process, the square-root process, the 3/2 process and ...
Jan Baldeaux, Eckhard Platen
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On Some Exponential-integral Functionals of Bessel Processes

Mathematical Finance, 1993
This paper studies the moments of some exponential‐integral functionals of Bessel processes, which are of interest in some questions of mathematical finance, including the valuation of perpetuities and Asian options.
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Bessel Kernel Determinants and Integrable Equations

Annales de l'Institute Henri Poincare. Physique theorique
We derive differential equations for multiplicative statistics of the Bessel determinantal point process depending on two parameters. In particular, we prove that such statistics are solutions to an integrable nonlinear partial differential equation ...
Giulio Ruzza
semanticscholar   +1 more source

Bessel Processes and Asian Options

2005
The goal of this chapter is to give a concise account of the connection between Bessel processes and the integral of geometric Brownian motion. The latter appears in the pricing of Asian options. Bessel processes are defined and some of their properties are given.
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On the semi-group of a scaled skew Bessel process

Statistics and Probability Letters, 2019
L. Alili, A. Aylwin
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Hitting times of hyperbolic Bessel processes

Colloquium Mathematicum
The paper deals with hyperbolic Bessel processes. A hyperbolic Bessel process is an extension of the radial part of Brownian motion on the Poincaré halfspace \(H^d(\mathbb{R})\), which is called \(d\)-dimensional hyperbolic Brownian motion. They are diffusion processes represented by one-dimensional Brownian motion with a suitable drift and their ...
Hamana, Yuji, Zhang, Lujia
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Invariance formulas for stopping times of squared Bessel process

, 2018
J. Jakubowski, Maciej Wisniewolski
semanticscholar   +1 more source