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Register a new userTwo further probabilistic applications of Bessel functions
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We revisit two classical formulas for the Bessel function of the first kind, due to von Lommel and Weber-Schafheitlin, in a probabilistic setting. The von Lommel formula exhibits a family of solutions to the van Dantzig problem involving the generalized semi-circular distributions and the first hitting times of a Bessel process with positive parameter, whereas the Weber-Schafheitlin formula allows one to construct non-trivial moments of Gamma type having a signed spectral measure. Along the way, we observe that the Weber-Schafheitlin formula is a simple consequence of the von Lommel formula, the Fresnel integral and the Selberg integral.
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We solve the Cauchy problem for the $n$-dimensional wave equation using elementary properties of the Bessel functions.
The use of the umbral formalism allows a significant simplification of the derivation of sum rules involving products of special functions and polynomials. We rederive in this way known sum rules and addition theorems for Bessel functions. Furthermore, we obtain a set of new closed form sum rules involving various special polynomials and Bessel functions. The examples we consider are relevant for applications ranging from plasma physics to quantum optics.
In this paper, sums represented in (3) are studied. The expressions are derived in terms of Bessel functions of the first and second kinds and their integrals. Further, we point out the integrals can be written as a Meijer G function.
In a 2006 article (cite{A1}), Allouba gave his quadratic covariation differentiation theory for It^os integral calculus. He defined the derivative of a semimartingale with respect to a Brownian motion as the time derivative of their quadratic covariation and a generalization thereof. He then obtained a systematic differentiation theory containing a fundamental theorem of stochastic calculus relating this derivative to It^os integral, a differential stochastic chain rule, a differential stochastic mean value theorem, and other differentiation rules. Here, we use this differentiation theory to obtain variants of the Clark-Ocone and Stroock formulas, with and without change of measure. We prove our variants of the Clark-Ocone formula under $L^{2}$-type conditions; with no Malliavin calculus, without the use of weak distributional or Radon-Nikodym type derivatives, and without the significant machinery of the Hida-Malliavin calculus. Unlike Malliavin or Hida-Malliavin calculi, the form of our variant of the Clark-Ocone formula under change of measure is as simple as it is under no change of measure, and without requiring any further differentiability conditions on the Girsanov transform integrand beyond Novikovs condition. This is due to the invariance under change of measure of the first authors derivative in cite{A1}. The formulations and proofs are natural applications of the differentiation theory in cite{A1} and standard It^o integral calculus. Iterating our Clark-Ocone formula, we obtain variants of Stroocks formula. We illustrate the applicability of these formulas by easily, and without Hida-Malliavin methods, obtaining the representation of the Brownian indicator $F=mathbb{I}_{[K,infty)}(W_{T})$, which is not standard Malliavin differentiable, and by applying them to digital options in finance. We then identify the chaos expansion of the Brownian indicator.
In this note, we derive the closed-form expression for the summation of series $sum_{n=0}^{infty}nJ_n(x)partial J_n/partial n$, which is found in the calculation of entanglement entropy in 2-d bosonic free field, in terms of $Y_0$, $J_0$ and an integral involving these two Bessel functions. Further, we point out the integral can be expressed as a Meijer G function.
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