Results 291 to 300 of about 17,257,924 (313)

A Discrete Bessel Process and Its Properties

, 2006
This paper considers a discrete analogue of a three‐dimensional Bessel process—a certain discrete random process, which converges to a continuous Bessel process in the sense of the Donsker–Prokhorov invariance principle, and which has an elementary path ...
A. Mishchenko
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The measure of the overlap of past and future under a transient bessel process

, 1996
Let X be the gap between the future infimum and the past supremum of a transient Bessel process. It is known that the positive process X gets arbitrarily close to 0 at arbitrarily large times. Khoshnevisan [9] gives an estimate of the rate with which the
O. Adelman, Zhan Shi
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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 ...
Eckhard Platen, Jan Baldeaux
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The Minimum of a Large Number of Bessel Processes

Journal of the London Mathematical Society, 1988
Let \((R_ i(t)\), \(t\geq 0)\), \(i=1,2,3,...\), be independent Bessel processes of index d. Let \(M_ n(t)=\min _{1\leq i\leq n}R_ i(t)\). We investigate the limiting distribution, as \(n\to \infty\), of the renormalized processes given (for fixed \(t_ 0>0)\) by \[ Y_ n(t)=n\{M_ n(t_ 0+\zeta _ nn^{-2/d} t)\}^ d, \] in the cases where \(\zeta _ n ...
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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
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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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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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Bessel Processes and Ray-Knight Theorems

1991
In this section, we take up the study of Bessel processes which was begun in Sect. 3 of Chap. VI and we use the notation thereof. We first make the following remarks.
Marc Yor, Daniel Revuz
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One-dimensional Brownian motion and the three-dimensional Bessel process

Advances in Applied Probability, 1974
J. Pitman
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Invariance formulas for stopping times of squared Bessel process

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