Inside the nature of squared Bessel process
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Publication:6255461
arXiv1410.3436MaRDI QIDQ6255461FDOQ6255461
Authors: Maciej Wiśniewolski 
Publication date: 13 October 2014
Abstract: A new stochastic process is introduced and considered - squared Bessel process with special stochastic time. The analogues of fundamental properties for Brownian motion are deduced for squared Bessel process. In particular an analogue of the celebrated strong Markov construction of Brownian motion independent of a given sigma field is presented and proved. This result has strong consequences. It allows for deeper understanding the nature of first hitting time of squared Bessel process. The joint distribution of two correlated squared Bessel processes is presented. For squared Bessel process it is also established a new interesting time inversion result. It is presented a general formula that ties squared Bessel process, geometric Brownian motion and its additive functional and that is generalization of the known Lamperti's relation. The new introduced process enables to find the conditional distribution of the first hitting time of a squared Bessel process with nonnegative index. Finally a completely new method of finding the density of first hitting time of squared Bessel process with nonnegative index is presented.
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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