Properties of the Cox–Ingersoll–Ross Interest Rate Processes with Two-sided Reflections
DOI10.1080/03610926.2013.813043zbMath1337.60149OpenAlexW2022595979MaRDI QIDQ5259080
Liu Chang, Ai-lin Zhu, Shou-Ting Chen
Publication date: 24 June 2015
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2013.813043
Laplace transformstationary distributionlocal timesfirst hitting timesreflected diffusion processesshort-term interest rateCox-Ingersoll-Ross interest rate processes
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Laplace transform (44A10) Local time and additive functionals (60J55) Transition functions, generators and resolvents (60J35)
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