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

DOI10.1016/J.SPA.2010.01.005MaRDI QIDQ963028zbMATH OpenOpenAlexFDO

Authors Gerald Trutnau

Publication date 8 April 2010

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

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

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)

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.

Recommendations

• Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
• Squared Bessel process with delay
• On symmetric and skew Bessel processes
• Bessel-like processes and SDE
• Publication:3472950

Cites work

• scientific article; zbMATH DE number 3878098 (Why is no real title available?)
• scientific article; zbMATH DE number 4153625 (Why is no real title available?)
• scientific article; zbMATH DE number 3734867 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 3800700 (Why is no real title available?)
• scientific article; zbMATH DE number 2237386 (Why is no real title available?)
• About a construction and some analysis of time inhomogeneous diffusions on monotonely moving domains
• Dirichlet forms and symmetric Markov processes
• ON HUNT PROCESSES AND STRICT CAPACITIES ASSOCIATED WITH GENERALIZED DIRICHLET FORMS
• On a class of non-symmetric diffusions containing fully nonsymmetric distorted Brownian motions
• On skew Brownian motion
• Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
• TIME-DEPENDENT DIRICHLET FORMS AND RELATED STOCHASTIC CALCULUS
• The heat equation and reflected Brownian motion in time-dependent domains.
• The theory of generalized Dirichlet forms and its applications in analysis and stochastics

Cited in

(13)

• Squared Bessel process with delay
• 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

This page was built for publication: Weak existence of the squared Bessel and CIR processes with skew reflection on a deterministic time-dependent curve

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q963028)