Explicit construction of a dynamic Bessel bridge of dimension 3

DOI10.1214/EJP.v18-1907zbMath1290.60075arXiv1302.7128MaRDI QIDQ388880

Umut Çetin, Albina Danilova, Luciano Campi

Publication date: 17 January 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.7128

zbMATH Keywords

filtering; enlargement of filtration; insider trading; martingale problem; dynamic Bessel bridge

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G44: Martingales with continuous parameter

60J60: Diffusion processes

60G05: Foundations of stochastic processes