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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 ISSN 0167-7152.

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Official URL: http://dx.doi.org/10.1016/j.spl.2018.08.014

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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:
DateEvent
February 2019Published
8 September 2018Available
19 August 2018Accepted
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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