On the weak convergence of conditioned Bessel bridges

arXiv2201.11328MaRDI QIDQ6505397FDOQ6505397

Authors: Kensuke Ishitani, Tokufuku Rin, Shun Yanashima 

Abstract: The purpose of this paper is to introduce the construction of a stochastic process called ``$delta$-dimensional Bessel house-moving" and its properties. $delta$-dimensional Bessel house-moving is a $delta$-dimensional Bessel process hitting a fixed point at $t=1$ for the first time. We show that this process can be obtained as the weak limit of $delta$-dimensional Bessel bridges conditioned from above. Applying this weak convergence, we give the decomposition formula for its distribution and the Radon-Nikodym density for the distribution of the Bessel house-moving with respect to the one of the Bessel process. We also study sample path properties of the Bessel house-moving.

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Continuous-time Markov processes on general state spaces (60J25)

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