Back to Search
Start Over
On the semi-group of a scaled skew Bessel process
- Source :
- Statistics & Probability Letters. 145:96-102
- Publication Year :
- 2019
- Publisher :
- Elsevier BV, 2019.
-
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.
- Subjects :
- Statistics and Probability
Time inversion
Bessel process
Group (mathematics)
010102 general mathematics
Mathematical analysis
Skew
01 natural sciences
010104 statistics & probability
symbols.namesake
Green's function
symbols
Point (geometry)
Differentiable function
0101 mathematics
Statistics, Probability and Uncertainty
Bessel function
Mathematics
Subjects
Details
- ISSN :
- 01677152
- Volume :
- 145
- Database :
- OpenAIRE
- Journal :
- Statistics & Probability Letters
- Accession number :
- edsair.doi...........892ca14dfecd788446deaac687b54ebe