Weak existence of the squared Bessel process and CIR process with skew reflection on a deterministic time dependent curve
Probability
2010-05-14 v3 Functional Analysis
Abstract
Using the technique of moving domains, and classical direct stochastic calculus, we construct the Cox-Ingersoll-Ross process, as well as its square root, with additional skew reflection on a deterministic time dependent curve.
Cite
@article{arxiv.0804.0119,
title = {Weak existence of the squared Bessel process and CIR process with skew reflection on a deterministic time dependent curve},
author = {Gerald Trutnau},
journal= {arXiv preprint arXiv:0804.0119},
year = {2010}
}
Comments
revised version, new introduction, improved readability, new professional address