Some properties of doubly skewed CIR processes

DOI10.1016/j.jmaa.2015.09.073zbMath1334.60169OpenAlexW1535304243MaRDI QIDQ891388

Guangli Xu, Yong Jin Wang, Shiyu Song

Publication date: 17 November 2015

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2015.09.073

zbMATH Keywords

Laplace transformstationary distributionpathwise uniquenessskew Brownian motionfirst hitting timeweak existencedoubly skewed CIR processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (4)

Parameter estimation for the skew Ornstein-Uhlenbeck processes based on discrete observations ⋮ A simple trinomial lattice approach for the skew-extended CIR models ⋮ On the transition density and first hitting time distributions of the doubly skewed CIR process ⋮ A Markov chain approximation scheme for option pricing under skew diffusions

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