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

DOI10.1214/20-ECP325zbMATH Open1447.60128arXiv2003.10389OpenAlexW3039492242MaRDI QIDQ782842FDOQ782842

Henri Elad Altman

Publication date: 29 July 2020

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

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.

Full work available at URL: https://arxiv.org/abs/2003.10389

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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)

Cites Work

• Integration by parts on \(\delta\)-Bessel bridges, \(\delta>3\), and related SPDEs
• Title not available (Why is that?)
• Integration by parts formulae on convex sets of paths and applications to SPDEs with reflection
• An Introduction to Special Functions
• Bessel Processes, Schramm–Loewner Evolution, and the Dyson Model
• Integration by parts on the law of the reflecting Brownian motion
• Bessel SPDEs and renormalised local times
• Integration by parts on the law of the modulus of the Brownian bridge

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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