Finite-dimensional distributions of a square-root diffusion

MaRDI QIDQ5176512zbMATH OpenFDO

Authors Michael B. Gordy

Publication date 26 February 2015

Full work available at URL https://projecteuclid.org/euclid.jap/1421763319

zbMATH Keywords

Bell polynomialdiscrete sample pathKibble-Moran distributionKrishnamoorthy-Parthasarathy distributionmoment generating functionsmultivariate gamma distributionmultivariate noncentral chi-squared distributionsquare-root diffusion processstationary distributions

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Sample path properties (60G17) Diffusion processes (60J60)

Recommendations

• Some Properties of CIR Processes
• The square-root process and Asian options
• ASYMPTOTIC INFERENCE FOR THE PARAMETERS OF A DISCRETE‐TIME SQUARE‐ROOT PROCESS
• On the distribution of extended CIR model
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes

Cites work

• A Multivariate Gamma-Type Distribution
• A theory of the term structure of interest rates
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 3158376 (Why is no real title available?)
• scientific article; zbMATH DE number 699423 (Why is no real title available?)
• scientific article; zbMATH DE number 1484400 (Why is no real title available?)
• scientific article; zbMATH DE number 3443655 (Why is no real title available?)
• Limit Properties of Noncentral Multivariate Rayleigh and Chi-Square Distributions
• Matrix Analysis
• Matrix computations and semiseparable matrices. Vol. 1: Linear systems.
• On some multivariate gamma distributions connected with spanning trees
• Two singular diffusion problems

Cited in

(3)

• Distribution of the extremum of a mean-reverting square-root process over a finite time interval
• An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach
• scientific article; zbMATH DE number 2005079 (Why is no real title available?)

This page was built for publication: Finite-dimensional distributions of a square-root diffusion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5176512)