Projections of scaled bessel processes

Constantinos Kardaras and Johannes Ruf

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: Let X and Y denote two independent squared Bessel processes of dimension m and n-m, respectively, with n ≥ 2 and m ∈ [0, n), making X+Y a squared Bessel process of dimension n. For appropriately chosen function s, the process s(X + Y) is a local martingale. We study the representation and the dynamics of s(X + Y), projected on the filtration generated by X. This projection is a strict supermartingale if, and only if, m

Keywords: bessel processes; filtering; local martingale; local time (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2019-07-03
New Economics Papers: this item is included in nep-ore
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Citations: View citations in EconPapers (4)

Published in Electronic Communications in Probability, 3, July, 2019, 24. ISSN: 1083-589X

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