确定性时变曲线上具有斜反射的平方 Bessel 过程与 CIR 过程的弱存在性
概率论
2010-05-14 v3 泛函分析
摘要
利用移动区域技术和经典直接随机微积分，我们构造了 Cox-Ingersoll-Ross 过程及其平方根，并附加了确定性时变曲线上的斜反射。
引用
@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}
}
备注
revised version, new introduction, improved readability, new professional address