The spectral representation of Bessel processes with constant drift: applications in queueing and finance

DOI10.1239/JAP/1082999069MaRDI QIDQ4819461zbMATH OpenOpenAlexFDO

Authors Vadim Linetsky

Publication date 24 September 2004

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/f85d963c2e1cdfabb5e67ab0651291a35767a396

zbMATH Keywords

CIR modelBessel processCoulomb potentialspectral expansioninterest-rate model(3/2)-modelheavy trafic limitpole-seeking Brownian Motion

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60) Queueing theory (aspects of probability theory) (60K25) Transition functions, generators and resolvents (60J35)

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Cited in

(23)

• Solution of the Fokker-Planck equation with a logarithmic potential and mixed eigenvalue spectrum
• THE EIGENFUNCTION EXPANSION METHOD IN MULTI‐FACTOR QUADRATIC TERM STRUCTURE MODELS
• On the transition densities for reflected diffusions
• An integral representation of elasticity and sensitivity for stochastic volatility models
• Doubling-time probability densities for growth processes
• Bessel processes, stochastic volatility, and timer options
• A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS
• Product formulas and convolutions for Laplace-Beltrami operators on product spaces: beyond the trivial case
• Outflow probability for drift-diffusion dynamics
• Intensity-based models for pricing mortgage-backed securities with repayment risk under a CIR process
• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
• Green's functions and the Cauchy problem of the Burgers hierarchy and forced Burgers equation
• Pricing perpetual timer option under the stochastic volatility model of Hull-White
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• Bessel process and conformal quantum mechanics
• Independent factorization of the last zero arcsine law for Bessel processes with drift
• Stochastic acceleration in generalized squared Bessel processes
• Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
• CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS
• Density of generalized Verhulst process and Bessel process with constant drift
• A class of solvable multidimensional stopping problems in the presence of Knightian uncertainty
• Asymmetric skew Bessel processes and their applications to finance
• Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model

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