On the Transition Density and First Hitting Time Distributions of the Doubly Skewed CIR Process

In this paper, we study doubly skewed CIR processes, which are extensions of skew Brownian motion. We use modified spectral expansion to obtain some properties, including the transition densities and first hitting time distributions, of doubly skewed CIR processes.

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Bibliographische Detailangaben
Veröffentlicht in:	Methodology and computing in applied probability 2021-09, Vol.23 (3), p.735-752
Hauptverfasser:	Xu, Guangli, Wang, Xingchun
Format:	Artikel
Sprache:	eng
Schlagworte:	Brownian motion Business and Management Economics Electrical Engineering Laplace transforms Life Sciences Mathematics Mathematics and Statistics Physical Sciences Science & Technology Statistics Statistics & Probability Theorems Volatility
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Beschreibung
Zusammenfassung:	In this paper, we study doubly skewed CIR processes, which are extensions of skew Brownian motion. We use modified spectral expansion to obtain some properties, including the transition densities and first hitting time distributions, of doubly skewed CIR processes.
ISSN:	1387-5841 1573-7713
DOI:	10.1007/s11009-020-09775-0