Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
arXiv:0804.0123 · doi:10.1016/j.spa.2011.03.011
Abstract
We investigate pathwise uniqueness for the squared Bessel and Cox-Ingersoll-Ross processes with additional reflection term that is multiplied by some real number strictly between minus one and one. The reflection term is the symmetric local time of the corresponding processes at a deterministic time dependent curve.
Structured introduction and modified Section 3
References in corpus (4)
- On the constructions of the skew Brownian motion
- The supremum of Brownian local times on Holder curves
- A uniqueness theorem for the martingale problem describing a diffusion in media with membranes
- Weak existence of the squared Bessel process and CIR process with skew reflection on a deterministic time dependent curve