On the semi-group of a scaled skew Bessel process

Larbi Alili and Andrew Aylwin

Statistics & Probability Letters, 2019, vol. 145, issue C, 96-102

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.

Keywords: Bessel processes; Skew Bessel processes; Green’s function; Time inversion (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2018.08.014

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