On the construction of Wiener integrals with respect to certain pseudo-Bessel processes

T. Funaki, Y. Hariya, F. Hirsch and M. Yor

Stochastic Processes and their Applications, 2006, vol. 116, issue 12, 1690-1711

Abstract: In previous papers [T. Funaki, Y. Hariya, M. Yor, Wiener integrals for centered powers of Bessel processes, I, Markov Processes Related Fields (2006) (in press); T. Funaki, Y. Hariya, M. Yor, Wiener integrals for centered Bessel and related processes, II, Alea (2006) (in press)], the authors have shown that it is possible to define the Wiener-type integrals , for every and any centered Bessel process with dimension d>1. In this paper, various conditions are stated, showing that such a construction is possible for a large class of processes indexed by two square integrable Brownian functionals. In particular, some of the results previously obtained for the Bessel processes are thus recovered, and in fact shown to extend to certain processes of the form .

Keywords: Bessel; processes; Ito's; representation; theorem; Wiener; integrals; Scaling; property; Gebelein's; inequality; Hermite; and; Laguerre; series; expansions (search for similar items in EconPapers)
Date: 2006
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(06)00065-2
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:116:y:2006:i:12:p:1690-1711

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().