Shiga-Watanabe's time inversion property for self-similar diffusion processes

Juha Vuolle-Apiala

Statistics & Probability Letters, 2007, vol. 77, issue 9, 920-924

Abstract: Assume (Xt,P0) is -self-similar, rotation invariant diffusion on Rd, d[greater-or-equal, slanted]2, starting at 0 and assume {0} is a polar set. We will show, using the corresponding well-known result for the radial process, that Shiga-Watanabe's time inversion property holds for (Xt,P0). The generalization for an [alpha]-self-similar, rotation invariant diffusion, [alpha]>0, is also given.

Keywords: Time; inversion; Self-similar; Bessel; process; Diffusion; Rotation; invariant; Skew; product; Radial; process; Spherical; process (search for similar items in EconPapers)
Date: 2007
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