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| Main Authors: | , , |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2509.24481 |
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| _version_ | 1866917210757267456 |
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| author | Hu, Mingshang Li, Renxing Zhang, Xue |
| author_facet | Hu, Mingshang Li, Renxing Zhang, Xue |
| contents | In this paper, we define the squared G-Bessel process as the square of the modulus of a class of G-Brownian motions and establish that it is the unique solution to a stochastic differential equation. We then derive several path properties of the squared G-Bessel process, which are more profound in the capacity sense. Furthermore, we provide upper and lower bounds for the Laplace transform of the squared G-Bessel process. Finally, we prove that the time-space transformed squared G-Bessel process is a G'-CIR process. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_24481 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Squared Bessel processes under nonlinear expectation Hu, Mingshang Li, Renxing Zhang, Xue Probability In this paper, we define the squared G-Bessel process as the square of the modulus of a class of G-Brownian motions and establish that it is the unique solution to a stochastic differential equation. We then derive several path properties of the squared G-Bessel process, which are more profound in the capacity sense. Furthermore, we provide upper and lower bounds for the Laplace transform of the squared G-Bessel process. Finally, we prove that the time-space transformed squared G-Bessel process is a G'-CIR process. |
| title | Squared Bessel processes under nonlinear expectation |
| topic | Probability |
| url | https://arxiv.org/abs/2509.24481 |