On the semi-group of a scaled skew Bessel process

被引：3

作者：

Alili, Larbi ^{[1
]}

Aylwin, Andrew ^{[1
]}

机构：

[1] Univ Warwick, Dept Stat, Coventry CV4 7AL, W Midlands, England

来源：

STATISTICS & PROBABILITY LETTERS | 2019年 / 145卷

关键词：

Bessel processes; Skew Bessel processes; Green's function; Time inversion; TIME-INVERSION; MARKOV-PROCESSES; DIFFUSIONS;

D O I：

10.1016/j.spl.2018.08.014

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We define scaled skew Bessel processes and determine their Green's functions and semi-group densities. We prove that these processes satisfy the time inversion property although the corresponding densities of the semi-groups are not, in general, twice differentiable in the density and starting point arguments. Some characterizations and semi-martingale properties are given. Crown Copyright (C) 2018 Published by Elsevier B.V. All rights reserved.

引用

页码：96 / 102

页数：7