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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…
math.PR2012★ 3 cited
On certain integral functionals of squared Bessel processes
Umut Çetin
Let be a squared Bessel process. Following a Feynman-Kac approach, the Laplace transforms of joint laws of are studied where is the first hit…