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.
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页码：96 / 102
页数：7
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