A Kingman convolution approach to Bessel processes

• Autorzy: Nguyen V. T.
• Języki publikacji: EN

Abstrakty

EN

In this paper we study Bessel processes in terms of the Kingman convolution method. In particular, we propose a higher dimensional model of the Kingman convolution algebras. We show that every Bessel process started at 0 is induced by a Kingman convolution. Moreover, a new concept of increments of stochastic processes is introduced. It permits to regard Bessel processes as “stationary and independent increments processes”.

Słowa kluczowe

EN

Kingman convolution; radial characteristic function; independent increment-type processes; Rayleigh distribution; Urbanik convolution algebras

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2009
• Tom: Vol. 29, Fasc. 1
• Strony: 119--134
• Opis fizyczny: Bibliogr. 19 poz.

Twórcy

autor

Nguyen V. T.

• Department of Mathematics, International University, HCMC, Quarter Nr. 6, LinhTrung Ward, Thu Duc Distr., HoChiMinh City, Vietnam

Bibliografia

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