On constants related to the choice of the local time at 0, and the corresponding Itô measure for Bessel processes with dimension d=2(1-alpha), 0 < alpha < 1

Catherine Donati-Martin (1) , Bernard Roynette (2, 3) , Pierre P. Vallois (2, 3) , Marc Yor (1)

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
2 IECN - Institut Élie Cartan de Nancy
3 TOSCA - Simuler et calibrer des modèles stochastiques

We precise the choice of constants in computations related to Bessel processes with dimension d=2(1-alpha), 0 < alpha < 1

Domaines: Probabilités [math.PR]

Catherine Donati-Martin, Bernard Roynette, Pierre P. Vallois, Marc Yor. On constants related to the choice of the local time at 0, and the corresponding Itô measure for Bessel processes with dimension d=2(1-alpha), 0 < alpha < 1. Studia Scientiarum Mathematicarum Hungarica, 2008, 45 (2), pp.207-221. ⟨10.1556/SScMath.2007.1033⟩. ⟨hal-00141513⟩