Wiener integrals for centered powers of Bessel processes, I

機関リポジトリ (HANDLE) オープンアクセス
  • 舟木, 直久
    東京大学大学院数理科学研究科
  • 針谷, 祐
    Departement de Mathematiques, Institut Elie Cartan
  • Yor, Marc
    Laboratoire de Probabilites et Modeles Aleatoires, Universite Pierre et Marie Curie

説明

The stochastic integrals of Wiener’s type may be constructed relatively to the centered $ delta $-dimensional Bessel processes (BES($ delta $)-processes in short) and their variants based on two different approaches. One approach, developed in [3], is via the Brascamp-Lieb inequality which works especially well for the BES($ delta $)-processes, BES($ delta $)-bridges with $ delta geq 3 $ or for the Brownian meander. The other approach, which is the subject of the present paper, goes via Hardy’s $ L^2 $ inequality which is effective for general BES($ delta $)-processes and their powers. We shall also discuss an interplay of these two methods.

収録刊行物

  • MHF Preprint Series

    MHF Preprint Series MHF2005-22 2005-05-19

    Faculty of Mathematics, Kyushu University

詳細情報 詳細情報について

  • CRID
    1050861482657852032
  • HANDLE
    2324/3368
  • 本文言語コード
    en
  • 資料種別
    journal article
  • データソース種別
    • IRDB

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