Bessel SPDEs with general Dirichlet boundary conditions

Abstract : We generalise the integration by parts formulae obtained in hal-01910713, v2 to Bessel bridges on [0, 1] with arbitrary boundary values, as well as Bessel processes with arbitrary initial conditions. This allows us to write, formally, the corresponding dynamics using renormalised local times, thus extending the Bessel SPDEs of hal-01910713, v2 to general Dirichlet boundary conditions. We also prove a dynamical result for the case of dimension 2, by providing a weak construction of the gradient dynamics corresponding to a 2-dimensional Bessel bridge.
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https://hal.archives-ouvertes.fr/hal-02264627
Contributor : Henri Elad Altman <>
Submitted on : Wednesday, August 7, 2019 - 11:55:06 AM
Last modification on : Sunday, August 11, 2019 - 1:08:29 AM

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  • HAL Id : hal-02264627, version 1

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Henri Elad Altman. Bessel SPDEs with general Dirichlet boundary conditions. 2019. ⟨hal-02264627⟩

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