Weak existence of the squared Bessel and CIR processes with skew reflection on a deterministic time-dependent curve

DOI10.1016/j.spa.2010.01.005zbMath1195.60085arXiv0804.0119OpenAlexW2798859749MaRDI QIDQ963028

Gerald Trutnau

Publication date: 8 April 2010

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

Full work available at URL: https://arxiv.org/abs/0804.0119

zbMATH Keywords

parabolic equationsdiffusion processesDirichlet spacesboundary value problems for second-orderlocal time and additive functionals

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial-boundary value problems for second-order parabolic equations (35K20) Dirichlet forms (31C25) Diffusion processes (60J60) Potentials and capacities on other spaces (31C15) Local time and additive functionals (60J55)

Related Items (10)

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 ⋮ On the transition density and first hitting time distributions of the doubly skewed CIR process ⋮ Pathwise uniqueness 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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