ON SDEs FOR BESSEL PROCESSES IN LOW DIMENSION AND PATH-DEPENDENT EXTENSIONS
Abstract
The Bessel process in low dimension (0 ≤ δ ≤ 1) is not an Itô process and it is a semimartingale only in the cases δ = 1 and δ = 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.
Fichier principal
Bessel_ORT2023.pdf (319.05 Ko)
Télécharger le fichier
Bessel_ORT2023.bbl (3.96 Ko)
Télécharger le fichier
Origin : Files produced by the author(s)