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  • Search: subject:"Lévy–Itô representation"
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Bessel bridges decomposition 1 Financial applications 1 Laplace transform 1 Lévy Ito representation 1 Squared Bessel process 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
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Faraud, Gabriel 1 Goutte, Stéphane 1
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HAL 1
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Bessel bridges decomposition with varying dimension. Applications to finance.
Faraud, Gabriel; Goutte, Stéphane - HAL - 2012
We consider a class of stochastic processes containing the classical and well-studied class of Squared Bessel processes. Our model, however, allows the dimension be a function of the time. We first give some classical results in a larger context where a time-varying drift term can be added. Then...
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