English

Projections of scaled Bessel processes

Probability 2019-05-17 v2

Abstract

Let XX and YY denote two independent squared Bessel processes of dimension mm and nmn-m, respectively, with n2n\geq 2 and m[0,n)m \in [0, n), making X+YX+Y a squared Bessel process of dimension nn. For appropriately chosen function ss, the process s(X+Y)s (X+Y) is a local martingale. We study the representation and the dynamics of s(X+Y)s(X+Y), projected on the filtration generated by XX. This projection is a strict supermartingale if, and only if, m<2m<2. The finite-variation term in its Doob-Meyer decomposition only charges the support of the Markov local time of XX at zero.

Keywords

Cite

@article{arxiv.1805.01404,
  title  = {Projections of scaled Bessel processes},
  author = {Constantinos Kardaras and Johannes Ruf},
  journal= {arXiv preprint arXiv:1805.01404},
  year   = {2019}
}
R2 v1 2026-06-23T01:44:18.749Z