References & Citations
Mathematics > Probability
Title: On the weak convergence of conditioned Bessel bridges
(Submitted on 27 Jan 2022 (v1), last revised 26 Apr 2024 (this version, v5))
Abstract: The purpose of this paper is to introduce the construction of a stochastic process called "$\delta$-dimensional Bessel house-moving" and its properties. We study the weak convergence of $\delta$-dimensional Bessel bridges conditioned from above, and we refer to this limit as $\delta$-dimensional Bessel house-moving. Applying this weak convergence result, we give the decomposition formula for its distribution and the Radon-Nikodym density for the distribution of the Bessel house-moving with respect to the one of the Bessel process. We also prove that $\delta$-dimensional Bessel house-moving is a $\delta$-dimensional Bessel process hitting a fixed point for the first time at $t=1$.
Submission history
From: Kensuke Ishitani [view email][v1] Thu, 27 Jan 2022 05:24:01 GMT (266kb,D)
[v2] Fri, 24 Jun 2022 05:56:20 GMT (269kb,D)
[v3] Thu, 21 Sep 2023 09:59:08 GMT (271kb,D)
[v4] Wed, 17 Apr 2024 07:58:12 GMT (25kb)
[v5] Fri, 26 Apr 2024 08:56:05 GMT (25kb)
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