Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing
type: Item
instance of: scholarly article
title: Skew Ornstein-Uhlenbeck processes with sticky reflection and their applications to bond pricing
author: Shiyu Song
author: Guangli Xu
published in: Journal of Applied Probability
publication date: 2024-11-15T00:00:00Z
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60E05
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 7945535
zbMATH Keywords: skew Ornstein-Uhlenbeck process
zbMATH Keywords: sticky reflection
zbMATH Keywords: Green function
zbMATH Keywords: first hitting time
zbMATH Keywords: zero-coupon bond
MaRDI profile type: Publication
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DOI: 10.1017/JPR.2023.110
description: scientific article; zbMATH DE number 7945535