Skew Ornstein-Uhlenbeck processes and their financial applications (Q2510020)
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scientific article; zbMATH DE number 6323570
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| English | Skew Ornstein-Uhlenbeck processes and their financial applications |
scientific article; zbMATH DE number 6323570 |
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Skew Ornstein-Uhlenbeck processes and their financial applications (English)
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31 July 2014
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The paper establishes the existence and uniqueness of the skew Ornstein-Uhlenbeck process satisfying a certain stochastic differential equation with local time, and calculates its transition densities and first hitting time. As applications, the authors propose an effective price dynamics in a regulated market and relate their theoretical results to financial markets combined with default risk.
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skew Ornstein-Uhlenbeck processes
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spectral expansion
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transition densities
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first hitting time
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Laplace transform
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0.7715393900871277
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0.7698439955711365
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0.7644838690757751
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0.7608088254928589
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