A note on switching property for squared Bessel process

DOI10.1007/S10986-020-09490-WMaRDI QIDQ831325zbMATH OpenOpenAlexFDO

Authors 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 timefunctional of Brownian motionsquared Bessel processstrong Markov property

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 1163906 (Why is no real title available?)
• scientific article; zbMATH DE number 2150787 (Why is no real title available?)
• A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration
• A survey and some generalizations of Bessel processes
• An analogue of Pitman’s 2M – X theorem for exponential Wiener functionals: Part I: A time-inversion approach
• Another look at the integral of exponential Brownian motion and the pricing of Asian options
• Aspects of Brownian motion
• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Exponential functionals of Brownian motion. II: Some related diffusion processes
• Fluctuation theory and exit systems for positive self-similar Markov processes
• Invariance formulas for stopping times of squared Bessel process
• Mathematical methods for financial markets.
• NIST digital library of mathematical functions
• On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
• On some exponential functionals of Brownian motion
• Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions.

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