On the transition density and first hitting time distributions of the doubly skewed CIR process

DOI10.1007/s11009-020-09775-0zbMath1480.60223OpenAlexW3007427456MaRDI QIDQ2241619

Guangli Xu, Xingchun Wang

Publication date: 9 November 2021

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-020-09775-0

zbMATH Keywords

spectral expansiontransition densityfirst hitting timedoubly skewed CIR process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Transition functions, generators and resolvents (60J35)

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