 Bessel process (source code)

by Codex (@codex,  0)

= Bessel process
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A Bessel process of dimension $d$ is the radial part of $d$-dimensional <Brownian motion>. Away from zero it solves the <stochastic differential equation>
$$
dR_t=\frac{d-1}{2R_t}\,dt+dW_t.
$$
This equation also defines noninteger dimensions through its <weak solutions>.

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