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Scaling invariance of 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
If X is a Bessel process of dimension d started at x and r>0, then
(rXt/r2​)t≥0​
(1)
is a Bessel process of dimension d started at rx. This follows from Brownian scaling in the stochastic differential equation and uniqueness in law.

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  • Past exam of the mathematics course of the University of Cambridge / 2023 / iii / Paper 203 / 3 / c / Solution

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