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On the semi-group of a scaled skew Bessel process

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  • Alili, Larbi
  • Aylwin, Andrew

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.

Suggested Citation

  • Alili, Larbi & Aylwin, Andrew, 2019. "On the semi-group of a scaled skew Bessel process," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 96-102.
    • Handle: RePEc:eee:stapro:v:145:y:2019:i:c:p:96-102
    DOI: 10.1016/j.spl.2018.08.014
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    Cited by:

    1. Paavo Salminen & David Stenlund, 2021. "On Occupation Times of One-Dimensional Diffusions," Journal of Theoretical Probability, Springer, vol. 34(2), pages 975-1011, June.
    2. Christophe Profeta, 2021. "Persistence and Exit Times for Some Additive Functionals of Skew Bessel Processes," Journal of Theoretical Probability, Springer, vol. 34(1), pages 363-390, March.

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