Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
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References listed on IDEAS
- Ouknine, Y., 1993. "Quelques identités sur les temps locaux et unicité des solutions d'équations differentielles stochastiques avec reflection," Stochastic Processes and their Applications, Elsevier, vol. 48(2), pages 335-340, November.
- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
- Trutnau, Gerald, 2010. "Weak existence of the squared Bessel and CIR processes with skew reflection on a deterministic time-dependent curve," Stochastic Processes and their Applications, Elsevier, vol. 120(4), pages 381-402, April.
- Aleksandar Mijatović, 2010. "Local time and the pricing of time-dependent barrier options," Finance and Stochastics, Springer, vol. 14(1), pages 13-48, January.
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- Xu, Guangli & Wang, Yongjin, 2016. "On stability of the Markov-modulated skew CIR process," Statistics & Probability Letters, Elsevier, vol. 109(C), pages 139-144.
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KeywordsPathwise uniqueness Bessel processes Squared Bessel processes Cox-Ingersoll-Ross processes Skew reflection Local time on a curve;
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