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On the semi-group of a scaled skew Bessel process
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Alili, Larbi and Aylwin, Andrew (2019) On the semi-group of a scaled skew Bessel process. Statistics & Probability Letters, 145 . pp. 96-102. doi:10.1016/j.spl.2018.08.014
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Official URL: http://dx.doi.org/10.1016/j.spl.2018.08.014
Abstract
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.
| Item Type: | Journal Article | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||||||
| Journal or Publication Title: | Statistics & Probability Letters | ||||||||
| Publisher: | Elsevier Science BV | ||||||||
| ISSN: | 0167-7152 | ||||||||
| Official Date: | February 2019 | ||||||||
| Dates: |
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| Volume: | 145 | ||||||||
| Page Range: | pp. 96-102 | ||||||||
| DOI: | 10.1016/j.spl.2018.08.014 | ||||||||
| Status: | Peer Reviewed | ||||||||
| Publication Status: | Published | ||||||||
| Access rights to Published version: | Restricted or Subscription Access |
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