Hitting times for sticky skew CIR process

被引：0

作者：

Zhang, Haoyan ^{[1
]}

Tian, Yingxu ^{[1
,2
]}

机构：

[1] Civil Aviat Univ China, Coll Sci, Tianjin, Peoples R China

[2] Civil Aviat Univ China, Coll Sci, Tianjin 300300, Peoples R China

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2024年 / 96卷 / 02期

基金：

中国国家自然科学基金;

关键词：

Sticky skew diffusion; CIR process; time change; infinitesimal generator; first hitting time; STOCHASTIC DIFFERENTIAL-EQUATIONS; LOCAL-TIMES;

D O I：

10.1080/17442508.2023.2255341

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we consider an extended skew CIR processes with sticky points, which is referred to as the sticky skew CIR process. We first calculate the infinitesimal generator and its domain. To explore its trajectory properties, we compute the Laplace transforms and the expectations of first hitting times over a constant boundary. The solutions of Laplace transforms are expressed in terms of Tricomi and Kummer confluent hypergeometric functions.

引用

页码：1052 / 1071

页数：20

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