{"title":"On SDEs for Bessel Processes in low dimension and path-dependent extensions","authors":"A. Ohashi, Francesco G. Russo, Alan Teixeira","doi":"10.30757/alea.v20-41","DOIUrl":null,"url":null,"abstract":"The Bessel process in low dimension (0 $\\le$ $\\delta$ $\\le$ 1) is not an It{\\^o} process and it is a semimartingale only in the cases $\\delta$ = 1 and $\\delta$ = 0. In this paper we first characterize it as the unique solution of an SDE with distributional drift or more precisely its related martingale problem. In a second part, we introduce a suitable notion of path-dependent Bessel processes and we characterize them as solutions of path-dependent SDEs with distributional drift.","PeriodicalId":0,"journal":{"name":"","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.30757/alea.v20-41","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 2
Abstract
The Bessel process in low dimension (0 $\le$ $\delta$ $\le$ 1) is not an It{\^o} process and it is a semimartingale only in the cases $\delta$ = 1 and $\delta$ = 0. In this paper we first characterize it as the unique solution of an SDE with distributional drift or more precisely its related martingale problem. In a second part, we introduce a suitable notion of path-dependent Bessel processes and we characterize them as solutions of path-dependent SDEs with distributional drift.
分享
京公网安备 11010802042870号
京ICP备2023020795号-1
求助内容：
应助结果提醒方式：
扫码关注我们
