Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
AbstractLet [sigma],[delta]>0,b>=0. Let , be continuous, and locally of bounded variation. We develop a general analytic criterion for the pathwise uniqueness of where p[set membership, variant](0,1), and is the symmetric semimartingale local time of R-[lambda]2. The criterion is related to the existence of nice (Kummer) functions for the time dependent infinitesimal generator of R. As a corollary we obtain explicit sufficient conditions for pathwise uniqueness. These are expressed in terms of [lambda]2, its derivative, and the parameters [sigma],[delta],b,p.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 121 (2011)
Issue (Month): 8 (August)
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