Bessel process

Bessel process

In mathematics, a Bessel process is a type of stochastic process. The "n"-dimensional Bessel process is the real-valued process "R" given by

:R_t = | W_t |_2,

where ||·||2 denotes the Euclidean norm in R"n" and "W" is an "n"-dimensional Wiener process (Brownian motion). For "n" ≥ 2, the "n"-dimensional Wiener process starting at the origin is transient: with probability one, "R""t" > 0 for all "t" > 0.

Reference: Oksendal


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