Abstract
In Chapter 6, we have shown the existence of a decreasing pseudo-inverse for the martingale \((M_{t}:=\exp\left(B_{t}-\frac{t}{2}\right),t\geq0)\). We shall now explore this notion in a more general framework, starting with the case of Bessel (and some related) processes. We show in particular that the tail probabilities of a Bessel process of index ν≥1/2 increase with respect to time; in fact it is the distribution function of a random time which is related to first and last passage times of Bessel processes.
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© 2010 Springer-Verlag Berlin Heidelberg
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Profeta, C., Roynette, B., Yor, M. (2010). Existence and Properties of Pseudo-Inverses for Bessel and Related Processes. In: Option Prices as Probabilities. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-10395-7_7
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DOI: https://doi.org/10.1007/978-3-642-10395-7_7
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-10394-0
Online ISBN: 978-3-642-10395-7
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