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math.PR2012★ 3 cited
Bessel bridges decomposition with varying dimension. Applications to finance
Gabriel Faraud, Stéphane Goutte
We consider a class of stochastic processes containing the classical and well-studied class of Squared Bessel processes. Our model, however, allows the dimension be a function of t…
math.PR2012
On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
Stéphane Goutte, Nadia Oudjane, Francesco Russo
Given a process with independent increments (not necessarily a martingale) and a large class of square integrable r.v. , being the Fourier transform of a finite m…