Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve

DOI10.1016/j.spa.2011.03.011zbMath1228.60071arXiv0804.0123OpenAlexW2135283325MaRDI QIDQ555027

Gerald Trutnau

Publication date: 22 July 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.0123

zbMATH Keywords

Bessel processespathwise uniquenesslocal time on a curvesquared Bessel processesCox-Ingersoll-Ross processesskew reflection

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial-boundary value problems for second-order parabolic equations (35K20) Diffusion processes (60J60) Local time and additive functionals (60J55)

Related Items (11)

On first hitting times for skew CIR processes ⋮ Time inhomogeneous stochastic differential equations involving the local time of the unknown process, and associated parabolic operators ⋮ Some properties of doubly skewed CIR processes ⋮ A simple trinomial lattice approach for the skew-extended CIR models ⋮ On stability of the Markov-modulated skew CIR process ⋮ On symmetric and skew Bessel processes ⋮ First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers ⋮ On the transition density and first hitting time distributions of the doubly skewed CIR process ⋮ Weak existence of the squared Bessel and CIR processes with skew reflection on a deterministic time-dependent curve ⋮ Skew Ornstein-Uhlenbeck processes and their financial applications ⋮ Skew CIR process, conditional characteristic function, moments and bond pricing

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