Sticky Bessel diffusions

DOI10.1016/J.SPA.2020.12.009MaRDI QIDQ2145813zbMATH OpenOpenAlexFDO

Authors Goran Peskir

Publication date 20 June 2022

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2020.12.009

zbMATH Keywords

Mittag-Leffler functionstochastic differential equationBessel processtransition probability density functiongeneralised Abel equationslowly reflecting (sticky) boundary behaviour

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Integral representations of solutions to PDEs (35C15) Initial-boundary value problems for second-order parabolic equations (35K20) Singular parabolic equations (35K67) Stochastic integral equations (60H20)

Recommendations

• Sticky Feller diffusions
• Bessel-like processes and SDE
• Stochastic differential equations for sticky Brownian motion
• On skew sticky Brownian motion
• On symmetric and skew Bessel processes

Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
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• A property of Brownian motion paths
• Brownian motions on a half line
• Evaluation of generalized Mittag-Leffler functions on the real line
• Harmonic analysis and boundary value problems in the complex domain
• Mathematical methods for financial markets.
• On Martin Boundaries for the Direct Product of Markov Chains
• Stochastic differential equations for sticky Brownian motion
• The Bessel motion and a singular integral equation
• The parabolic differential equations and the associated semigroups of transformation
• Two singular diffusion problems

Cited in

(7)

• Diffusions with Bessel-like drifts
• Hitting times for sticky skew CIR process
• Monotonicity of the reflected Bessel transition density on the diagonal
• Sticky Brownian Motion and Its Numerical Solution
• Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing
• Sticky Feller diffusions
• Bessel-like processes and SDE

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