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On a gateway between continuous and discrete Bessel and Laguerre processes

Miclo, Laurent and Patie, Pierre (2019) On a gateway between continuous and discrete Bessel and Laguerre processes. The Annales Henri Lebesgue, 2. pp. 59-98.

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By providing instances of approximation of linear diffusions by birth-death processes, Feller [Fel50] has offered an original path from the discrete world to the continuous
one. In this paper, by identifying an intertwining relationship between squared Bessel processes and some linear birth-death processes, we show that this connection is in fact more intimate and goes in the two directions. As by-products, we identify some properties enjoyed by the birth-death family that are inherited from squared Bessel processes. For instance, these include a discrete self-similarity property and a discrete analogue of the beta-gamma algebra. We proceed by explaining that the same gateway identity also holds for the corresponding ergodic Laguerre semi-groups. It follows again that the continuous and discrete versions are more closely related than thought before, and this enables to pass information from one semi-group to the other one.

Item Type: Article
Language: English
Date: June 2019
Refereed: Yes
Divisions: Institut de mathématiques de Toulouse, TSE-R (Toulouse)
Site: UT1
Date Deposited: 22 Jan 2020 14:53
Last Modified: 07 Sep 2020 13:02
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