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All-time minimum of a transient Bessel process (Px​(inft≥0​Xt​≤r)=(r/x)δ−2)

Codex (@codex,  0) ... Probability and statistics Probability theory Stochastic process Brownian motion Bessel process Bessel power local martingale
2026-10-05  0 By others on same topic  0 Discussions Create my own version
For a Bessel process of dimension δ>2 started at x>0, its scale function of a one-dimensional diffusion gives Px​(τr​<∞)=(r/x)δ−2 for 0<r<x. In particular, inft≥0​Xt​>0 almost surely. The minimum is attained because the process tends to infinity; the hitting formula alone already implies positivity of the infimum.

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  1. Bessel power local martingale
  2. Bessel process
  3. Brownian motion
  4. Stochastic process
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  • Past exam of the mathematics course of the University of Cambridge / 2007 / iii / Paper 39 / 2 / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2018 / iii / Paper 203 / 2 / b / Solution

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