Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve (Q555027)

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scientific article; zbMATH DE number 5930913
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    Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
    scientific article; zbMATH DE number 5930913

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      Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve (English)
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      22 July 2011
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      Let \(\sigma\), \(\delta> 0\), \(b\geq 0\). Let \(\lambda^2: \mathbb{R}_+\to\mathbb{R}_+\), be continuous, and locally of bounded variation. The author develops a general analytic criterion for the pathwise uniqueness of \[ R_t= R_0+ \int^t_0 \sigma\sqrt{|R_s|}dW_s+ \int^t_0 {\sigma^2\over 4} (\delta- bR_s)\,ds+ (2p- 1) l^0_t(R- \lambda^2), \] where \(p\in(0, 1)\) and \(l^0_t(R- \lambda^2)\) is the symetrics semimartingale local time of \(R-\lambda^2\). The criterion is related to the existence of nice (Kummer) functions for the time dependent infinitesimal generation of \(R\). As a corollary the author obtain explicit sufficient conditions for pathwise uniqueness. These are expressed in terms of \(\lambda^2\), its derivative, and the parameters \(\sigma\), \(\delta\), \(b\), \(p\).
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      pathwise uniqueness
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      Bessel processes
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      squared Bessel processes
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      Cox-Ingersoll-Ross processes
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      skew reflection
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      local time on a curve
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