Some martingales associated with multivariate Bessel processes

29 Aug 2019 Kornyik Miklos Voit Michael Woerner Jeannette H. C.

We study Bessel processes on Weyl chambers of types A and B on $\mathbb R^N$. Using elementary symmetric functions, we present several space-time-harmonic functions and thus martingales for these processes $(X_t)_{t\ge0}$ which are independent from one parameter of these processes... (read more)

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Categories


  • PROBABILITY
  • MATHEMATICAL PHYSICS
  • CLASSICAL ANALYSIS AND ODES
  • MATHEMATICAL PHYSICS