Sticky Feller diffusions

DOI10.1214/23-ejp909zbMath1517.60101MaRDI QIDQ6165209

David Roodman, Goran Peskir

Publication date: 4 July 2023

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/electronic-journal-of-probability/volume-28/issue-none/Sticky-Feller-diffusions/10.1214/23-EJP909.full

zbMATH Keywords

Laplace transformgamma functionMittag-Leffler functionstochastic differential equationBessel processBrownian motionOrnstein-Uhlenbeck processGreen functionscale functionmodified Bessel functionCox-Ingersoll-Ross modelVasicek modeltime changetransition probability density functionspeed measureTricomi's confluent hypergeometric functionKummer's confluent hypergeometric functionslowly reflecting (sticky) boundary behaviourdiffusion local timeFeller branching diffusionKolmogorov forward/backward equationsticky (Feller) boundary condition

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Brownian motion (60J65) Integral representations of solutions to PDEs (35C15) Diffusion processes (60J60) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Stochastic integral equations (60H20) Singular parabolic equations (35K67)

Cites Work

• Boundary conditions for the single-factor term structure equation
• Mathematical methods for financial markets.
• Sticky Bessel diffusions
• Brownian motions on a half line
• A property of Brownian motion paths
• Two singular diffusion problems
• The parabolic differential equations and the associated semigroups of transformation
• Stochastic differential equations for sticky Brownian motion
• A Theory of the Term Structure of Interest Rates
• On Martin Boundaries for the Direct Product of Markov Chains
• Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound
• A positive interest rate model with sticky barrier
• An equilibrium characterization of the term structure
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