Projections of scaled Bessel processes
Probability
2019-05-17 v2
Abstract
Let and denote two independent squared Bessel processes of dimension and , respectively, with and , making a squared Bessel process of dimension . For appropriately chosen function , the process is a local martingale. We study the representation and the dynamics of , projected on the filtration generated by . This projection is a strict supermartingale if, and only if, . The finite-variation term in its Doob-Meyer decomposition only charges the support of the Markov local time of 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}
}