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math.PR2013
Explicit construction of a dynamic Bessel bridge of dimension 3
Luciano Campi, Umut Çetin, Albina Danilova
Given a deterministically time-changed Brownian motion starting from 1, whose time-change satisfies for all , we perform an explicit construction of a…
math.PR2012
Filtered Azéma martingales
Umut Çetin
We study the optional projection of a standard Brownian motion on the natural filtration of certain kinds of observation processes. The observation process, , is defined as a so…