Squared Bessel process with delay

DOI10.1090/conm/668/13408zbMath1415.60070OpenAlexW2195672900MaRDI QIDQ5225291

Harry Randolph Hughes, Lochana Siriwardena

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 timestochastic functional differential equationsstochastic delay differential equationsreflecting boundarysquared Bessel process

Mathematics Subject Classification ID

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

Cites Work

• Noncolliding squared Bessel processes
• A survey and some generalizations of Bessel processes
• Eigenvalues of the Laguerre process as non-colliding squared Bessel processes
• A Theory of the Term Structure of Interest Rates
• Multidimensional Yamada-Watanabe theorem and its applications to particle systems
• Stochastic differential equations. An introduction with applications.
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