Properties of the Cox–Ingersoll–Ross Interest Rate Processes with Two-sided Reflections (Q5259080)
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scientific article; zbMATH DE number 6449740
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Properties of the Cox–Ingersoll–Ross Interest Rate Processes with Two-sided Reflections |
scientific article; zbMATH DE number 6449740 |
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Properties of the Cox–Ingersoll–Ross Interest Rate Processes with Two-sided Reflections (English)
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24 June 2015
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Cox-Ingersoll-Ross interest rate processes
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first hitting times
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Laplace transform
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local times
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reflected diffusion processes
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short-term interest rate
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stationary distribution
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