Integration by parts formulae for the laws of Bessel bridges via hypergeometric functions

DOI10.1214/20-ECP325MaRDI QIDQ782842zbMATH OpenOpenAlexFDO

Authors Henri Elad Altman

Publication date 29 July 2020

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2003.10389, https://projecteuclid.org/euclid.ecp/1593569166

zbMATH Keywords

hypergeometric functionsintegration by parts formulaeBessel bridgesBessel SPDEs

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integrals (60H05) Stochastic analysis (60H99)

Abstract: In this article, we extend the integration by parts formulae (IbPF) for the laws of Bessel bridges obtained in a recent work by Elad Altman and Zambotti to linear functionals. Our proof relies on properties of hypergeometric functions, thus providing a new interpretation of these formulae.

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Cites work

• scientific article; zbMATH DE number 2150787 (Why is no real title available?)
• An introduction to special functions
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• Bessel process, Schramm-Loewner evolution, and the Dyson model
• Integration by parts formulae on convex sets of paths and applications to SPDEs with reflection
• Integration by parts on \(\delta\)-Bessel bridges, \(\delta>3\), and related SPDEs
• Integration by parts on the law of the modulus of the Brownian bridge
• Integration by parts on the law of the reflecting Brownian motion

Cited in

(3)

• Integration by parts on Bessel bridges and related stochastic partial differential equations
• Taylor estimates for the laws of pinned Bessel bridges, and integration by parts
• Some remarks about the identity in law for the Bessel bridge \(\int_0^1 {ds \over r(s)} \overset\text{(law)}= 2\sup_{s\leq 1} r(s)\)

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