The analysis and property of two classes of skew Markov processes

DOI10.1360/N012018-00057MaRDI QIDQ5064079zbMATH OpenFDO

Authors Guangli Xu, Shiyu Song, Yongjin Wang

Publication date 21 March 2022

Published in SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1360/N012018-00057

zbMATH Keywords

option pricingskew branching processskew Brownian motionskew OU process

Mathematics Subject Classification ID

Local time and additive functionals (60J55) Diffusion processes (60J60) Brownian motion (60J65) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

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(11)

• On the semi-group of a scaled skew Bessel process
• An ideal class to construct solutions for skew Brownian motion equations
• On the transition density and first hitting time distributions of the doubly skewed CIR process
• Skew Ornstein-Uhlenbeck processes and their financial applications
• On a skew stable Lévy process
• On the Skew Product of Symmetric Diffusion Processes
• scientific article; zbMATH DE number 2014641 (Why is no real title available?)
• Feller property of skew product diffusion processes
• Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing
• Some properties of doubly skewed CIR processes
• On the constructions of the skew Brownian motion

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