Weak existence of the squared Bessel and CIR processes with skew reflection on a deterministic time-dependent curve

DOI10.1016/J.SPA.2010.01.005zbMATH Open1195.60085arXiv0804.0119OpenAlexW2798859749MaRDI QIDQ963028FDOQ963028

Authors: Gerald Trutnau 

Publication date: 8 April 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: Using the technique of moving domains, and classical direct stochastic calculus, we construct the Cox-Ingersoll-Ross process, as well as its square root, with additional skew reflection on a deterministic time dependent curve.

Full work available at URL: https://arxiv.org/abs/0804.0119

Recommendations

• Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
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zbMATH Keywords

parabolic equationsdiffusion processesDirichlet spacesboundary value problems for second-orderlocal time and additive functionals

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Potentials and capacities on other spaces (31C15) Dirichlet forms (31C25) Initial-boundary value problems for second-order parabolic equations (35K20) Local time and additive functionals (60J55)

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Cited In (13)

• On first hitting times for skew CIR processes
• Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
• On the transition density and first hitting time distributions of the doubly skewed CIR process
• Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators
• Some properties of doubly skewed CIR processes
• Skew CIR process, conditional characteristic function, moments and bond pricing
• On stability of the Markov-modulated skew CIR process
• Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing
• On symmetric and skew Bessel processes
• Hitting times for sticky skew CIR process
• A simple trinomial lattice approach for the skew-extended CIR models
• Skew Ornstein-Uhlenbeck processes and their financial applications
• Squared Bessel process with delay

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