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Hitting-zero classification for a Bessel process

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Stochastic process Brownian motion Bessel process
2026-09-28  0 By others on same topic  0 Discussions Create my own version
A Bessel process of dimension d>0 started away from zero hits zero almost surely exactly when d<2. For d=2, its scale function of a one-dimensional diffusion is s(x)=x2−d; for d=2 it is s(x)=logx. The boundary hitting probability from a diffusion scale function then gives the classification by taking the inner boundary to zero and the outer boundary to infinity.

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  1. Bessel process
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  • Past exam of the mathematics course of the University of Cambridge / 2022 / iii / Paper 203 / 4 / b / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2023 / iii / Paper 203 / 2 / b / Solution

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