Squared Bessel process with delay

DOI10.1090/CONM/668/13408MaRDI QIDQ5225291zbMATH OpenOpenAlexFDO

Authors Lochana Siriwardena, Harry Randolph Hughes

Publication date 19 July 2019

Published in Probability on Algebraic and Geometric Structures (Search for Journal in Brave)

Full work available at URL https://opensiuc.lib.siu.edu/math_articles/113

zbMATH Keywords

Bessel processexit timereflecting boundarysquared Bessel processstochastic delay differential equationsstochastic functional differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• A survey and some generalizations of Bessel processes
• A theory of the term structure of interest rates
• Eigenvalues of the Laguerre process as non-colliding squared Bessel processes
• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 1121854 (Why is no real title available?)
• scientific article; zbMATH DE number 3069600 (Why is no real title available?)
• Multidimensional Yamada-Watanabe theorem and its applications to particle systems
• Noncolliding squared Bessel processes
• Stochastic differential equations. An introduction with applications.

Cited in

(1)

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

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