Bessel SPDEs with general Dirichlet boundary conditions

Henri Elad Altman

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arXiv · 1908.02241

Bessel SPDEs with general Dirichlet boundary conditions

Henri Elad Altman

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Abstract

We generalise the integration by parts formulae obtained in arXiv:1811.00518v5 [math.PR] to Bessel bridges on $[0,1]$ with arbitrary boundary values, as well as Bessel processes with arbitrary initial conditions. This allows us to write, formally, the corresponding dynamics using renormalised local times, thus extending the Bessel SPDEs of arXiv:1811.00518v5 [math.PR] to general Dirichlet boundary conditions. We also prove a dynamical result for the case of dimension $2$, by providing a weak construction of the gradient dynamics corresponding to a $2$-dimensional Bessel bridge.

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BibTeX RIS

Henri Elad Altman. 2019-08-06. Bessel SPDEs with general Dirichlet boundary conditions. https://arxiv.org/abs/1908.02241

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