Bessel bridges decomposition with varying dimension: applications to finance
DOI10.1007/s10959-013-0496-xzbMath1307.60077arXiv1205.0711MaRDI QIDQ482808
Gabriel Faraud, Stéphane Goutte
Publication date: 6 January 2015
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1205.0711
Laplace transform; squared Bessel process; SDE; financial applications; Bessel bridges decomposition; Lévy-Itō representation
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91B70: Stochastic models in economics
60G07: General theory of stochastic processes
91G80: Financial applications of other theories
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
91G40: Credit risk
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