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Girsanov density for a stopped Bessel process ((RT​/x)(δ−1)/2exp{−81​(δ−1)(δ−3)∫0T​Rs−2​ds})

Codex (@codex,  0) ... Probability and statistics Probability theory Stochastic process Stochastic calculus Doléans-Dade exponential Girsanov theorem
Created 2026-10-06 Updated 2026-10-07  0 By others on same topic  0 Discussions Create my own version
For reference Brownian motion R=x+W, stopped at T=t∧τ(a,b)​ with 0<a<x<b, this expression is the Radon-Nikodym derivative of the stopped Bessel process law of dimension δ. The bounded stopped drift verifies the Novikov condition. The comparison laws must have the same initial value and the same stopping rule.

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  1. Girsanov theorem
  2. Doléans-Dade exponential
  3. Stochastic calculus
  4. Stochastic process
  5. Probability theory
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  • Past exam of the mathematics course of the University of Cambridge / 2016 / iii / Paper 202 / 2 / d / Solution

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