Bessel Process Recurrence - Quant Trader Interview Question
Difficulty: Hard
Category: Stochastic Calculus
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Topics: stochastic-processes, bessel-process, recurrence, brownian-motion
Problem Description
A Bessel process of dimension $d$ is the radial part of a $d$-dimensional Brownian motion. For what values of $d$ is the Bessel process recurrent (i.e., returns to 0 with probability 1)? Note that $d$ is a positive real number.
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