In mathematics, a Bessel process, named after Friedrich Bessel. The n-dimensional Bessel process is the solution to the stochastic differential equation (SDE)
Overview
In mathematics, a Bessel process, named after Friedrich Bessel, is a type of stochastic process.
Formal definition
The Bessel process of order n is the real-valued process X given (when n ≥ 2) by
where ||·|| denotes the Euclidean norm in Rn and W is an n-dimensional Wiener process (Brownian motion).
For any n, the n-dimensional Bessel process is the solution to the stochastic differential equation (SDE)
