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

zbMATH Keywords

Laplace transform; squared Bessel process; SDE; financial applications; Bessel bridges decomposition; Lévy-Itō representation

Mathematics Subject Classification ID

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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