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math.PR2008★ 21 cited
Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
Gerald Trutnau
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 m…
math.PR2008★ 1 cited
Weak existence of the squared Bessel process and CIR process with skew reflection on a deterministic time dependent curve
Gerald Trutnau
Using the technique of moving domains, and classical direct stochastic calculus, we construct the Cox-Ingersoll-Ross process, as well as its square root, with additional skew refle…