2022/01/27 by Kensuke Ishitani, Ishitani, Kensuke, Tokufuku Rin +3
Computer Science · Economics, Econometrics and Finance · Mathematics · #Bayesian Methods and Mixture Models #FOS: Mathematics #Primary 60F17 #Probability (math.PR) #Random Matrices and Applications #Secondary 60J25 #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2201.11328
openalex publication_date 2022/01/27 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The purpose of this paper is to introduce the construction of a stochastic process called "δ-dimensional Bessel house-moving" and its properties. We study the weak convergence of δ-dimensional Bessel bridges conditioned from above, and we refer to this limit as δ-dimensional Bessel house-moving. Applying this weak convergence result, we give the decomposition formula for its distribution and the Radon-Nikodym density for the distribution of the Bessel house-moving with respect to the one of the Bessel process. We also prove that δ-dimensional Bessel house-moving is a δ-dimensional Bessel process hitting a fixed point for the first time at t=1.