Skew Brownian motion-type of extensions

被引:3
|
作者
VuolleApiala, J
机构
[1] Department of Mathematics, SF-00014 Helsinki, P.O. Box 4
关键词
Feller process; skew Brownian motion; excursion theory; entrance law;
D O I
10.1007/BF02214254
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We consider a class of possible extensions of a given symmetric Feller process Z, from R\{0} to the entire real line R, depending on a parameter alpha is an element of [0, 1]. It is proved that the proposed extension exists if alpha = 1/2; for alpha not equal 1/2, exists if and only if Z(t) does not jump over 0 (e.g., if Z(t) is a diffusion).
引用
收藏
页码:853 / 861
页数:9
相关论文
共 50 条