Perturbed Bessel processes

DOI10.1007/BFB0101761MaRDI QIDQ4213424zbMATH OpenFDO

Authors J. Warren, Marc Yor, Ronald A. Doney

Publication date 16 November 1999

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=SPS_1998__32__237_0, https://eudml.org/doc/113987

zbMATH Keywords

Bessel processBrownian motionlocal time

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Discrete-time Markov processes on general state spaces (60J05) Local time and additive functionals (60J55)

Review text

Let \(B_t\), \(t\geq 0\), \(B_0=0\), be a Brownian motion. The \(\alpha\)-perturbed Bessel process of dimension \(d>1\) starting from \(a\geq 0\) is defined as follows: It is a non-negative process \(R_{d,\alpha} (t)\), \(t\geq 0\), such that \[ R_{d,\alpha}(t)= a+B_t+ \frac{d-1}{2} \int_0^t \frac{ds}{R_{d,\alpha}(s)}+ \alpha(M_t^R-a), \] where \(M_t^R= \sup_{0\leq s\leq t}R_{d,\alpha}(s)\). (The modification of this definition for the case \(d=1\) is presented as well.) The authors show that a perturbed Bessel process of dimension \(d\geq 1\) can be represented in terms of an ordinary Bessel process of dimension \(d\) by means of space-time transformation. Ray-Knight theorems on local time for the perturbed Bessel process of dimension \(d=3\) and some properties of these processes are presented. The authors consider also the problem of extending the definition of the perturbed Bessel process to dimension \(0< d<1\). For the entire collection see [Zbl 0893.00035].

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(10)

• An excursion approach to Ray-Knight theorems for perturbed Brownian motion
• Some Brownian functionals and their laws
• A trivariate law for certain processes related to perturbed Brownian motions
• Squared Bessel processes of positive and negative dimension embedded in Brownian local times
• A lifetime of excursions through random walks and Lévy processes
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• Projections of scaled Bessel processs
• A variant of Pitman's theorem on \((2J_s-R_s,s\geq 0)\) for a general transient Bessel process \(R_{(+)}\) and its implications for the corresponding Ito's measure \(\mathbf n_{(-)}\)
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• A two-dimensional oblique extension of Bessel processes

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