On the semi-group of a scaled skew Bessel process

Publication date: Available online 8 September 2018Source: Statistics & Probability LettersAuthor(s): Larbi Alili, Andrew AylwinAbstractWe 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.

Source: Statistics and Probability Letters - September 9, 2018 Category: Statistics Source Type: research