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may 2015 A New Proof of Williams' Decomposition of the Bessel Process of Dimension Three with a Look at Last-Hitting Times
F. Thomas Bruss, Marc Yor
Bull. Belg. Math. Soc. Simon Stevin 22(2): 319-330 (may 2015). DOI: 10.36045/bbms/1432840867

Abstract

In this note we propose a concise proof of David Williams' decomposition of the Bessel Process of dimension 3 (BES(3)), starting from $r>0$ at its ultimate minimum. An ultimate minimum of a stochastic process may be seen as a state of a process at a last hitting time. This discussion is strongly motivated by our interest in properties of last hitting times in general, and here specifically, directly linked with the reading guide of Nikeghbali and Platen (2013).

Citation

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F. Thomas Bruss. Marc Yor. "A New Proof of Williams' Decomposition of the Bessel Process of Dimension Three with a Look at Last-Hitting Times." Bull. Belg. Math. Soc. Simon Stevin 22 (2) 319 - 330, may 2015. https://doi.org/10.36045/bbms/1432840867

Information

Published: may 2015
First available in Project Euclid: 28 May 2015

zbMATH: 1329.60275
MathSciNet: MR3351045
Digital Object Identifier: 10.36045/bbms/1432840867

Subjects:
Primary: 60 H 30
Secondary: 60 G 40

Rights: Copyright © 2015 The Belgian Mathematical Society

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Vol.22 • No. 2 • may 2015
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