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

DOI10.1239/jap/1082999069zbMath1056.60073OpenAlexW2139952089MaRDI QIDQ4819461

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

Bessel processspectral expansionCoulomb potentialCIR modelinterest-rate model(3/2)-modelheavy trafic limitpole-seeking Brownian Motion

Mathematics Subject Classification ID

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

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