Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes
From MaRDI portal
Publication:6162783
DOI10.1080/17442508.2022.2047188arXiv2109.13619OpenAlexW3202973976MaRDI QIDQ6162783
Anton Yurchenko-Tytarenko, Yuliya S. Mishura
Publication date: 26 June 2023
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2109.13619
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Related Items (3)
Sandwiched SDEs with unbounded drift driven by Hölder noises ⋮ Fractional diffusion Bessel processes with Hurst index \(H \in (0, \frac{1}{2})\) ⋮ Piecewise-tunneled captive processes and corridored random particle systems
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the reflected Ornstein-Uhlenbeck process with catastrophes
- Applications of Fourier transform to smile modeling. Theory and implementation.
- A comparison theorem for solutions of stochastic differential equations and its applications
- Integration with respect to fractal functions and stochastic calculus. I
- Properties of the reflected Ornstein-Uhlenbeck process
- Fractional Cox-Ingersoll-Ross process with non-zero ``mean
- Survival models based on the Ornstein-Uhlenbeck process
- A diffusion approximation for a Markovian queue with reneging
- Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion
- Stochastic viability and comparison theorems for mixed stochastic differential equations
- A diffusion approximation for a GI/GI/1 queue with balking or reneging
- On drift parameter estimation for reflected fractional Ornstein–Uhlenbeck processes
- A Theory of the Term Structure of Interest Rates
- On the conditional default probability in a regulated market: a structural approach
- Some integral functionals of reflected SDEs and their applications in finance
- An Intertemporal General Equilibrium Model of Asset Prices
- On some diffusion approximations to queueing systems
- Bessel diffusions as a one-parameter family of diffusion processes
- SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- A Note on the Absence of Tangencies in Gaussian Sample Paths
- On the transition densities for reflected diffusions
This page was built for publication: Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes
