Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound

DOI10.1080/15326349.2019.1630287zbMath1434.60217OpenAlexW2950948603WikidataQ127654864 ScholiaQ127654864MaRDI QIDQ5106727

Vadim Linetsky, Yutian Nie

Publication date: 22 April 2020

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2019.1630287

zbMATH Keywords

Ornstein-Uhlenbeck processinterest rate modelszero lower boundsticky reflecting diffusion

Mathematics Subject Classification ID

Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (10)

Exact solutions of the two-side exit time problems for the Vasicek model ⋮ Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricing ⋮ On first passage times of sticky reflecting diffusion processes with double exponential jumps ⋮ Sticky Feller diffusions ⋮ Functional convergence to the local time of a sticky diffusion ⋮ General diffusion processes as limit of time-space Markov chains ⋮ Some Laplace transforms and integral representations for parabolic cylinder functions and error functions ⋮ A result on the Laplace transform associated with the sticky Brownian motion on an interval ⋮ Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation ⋮ Markov chain approximation of one-dimensional sticky diffusions

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