Some Random times and Martingales Associated with Bes0(δ) Processes (0 < Δ < 2)

@inproceedings{Nikeghbali2005SomeRT,
  title={Some Random times and Martingales Associated with Bes0(δ) Processes (0 < Δ < 2)},
  author={Ashkan Nikeghbali},
  year={2005}
}
In this paper, we study Bessel processes of dimension δ ≡ 2(1 − μ), with 0 < δ < 2, and some related martingales and random times. Our approach is based on martingale techniques and the general theory of stochastic processes (unlike the usual approach based on excursion theory), although for 0 < δ < 1, these processes are even not semimartingales. The last time before 1 when a Bessel process hits 0, called gμ, plays a key role in our study: we characterize its conditional distribution and… CONTINUE READING