An Analytical Formula for the Transition Density of a Conic Combination of Independent Squared Bessel Processes with Time-Dependent Dimensions and Financial Applications

An Analytical Formula for the Transition Density of a Conic Combination of Independent Squared Bessel Processes with Time-Dependent Dimensions and Financial Applications

The squared Bessel process plays a central role in stochastic analysis, with broad applications in mathematical finance, physics, and probability theory. While explicit expressions for its transition probability density function (TPDF) under constant parameters are well known, analytical results in...

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Bibliographic Details
Main Authors: Nopporn Thamrongrat, Chhaunny Chhum, Sanae Rujivan, Boualem Djehiche
Format: Article
Language:English
Published: MDPI AG 2025-06-01
Series:Mathematics
Subjects:
squared Bessel process
transition probability density function
conditional moments
time-dependent dimension
Laguerre series expansion
financial applications
Online Access:https://www.mdpi.com/2227-7390/13/13/2106
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