Weak existence of the squared Bessel and CIR processes with skew reflection on a deterministic time-dependent curve

Gerald Trutnau

Stochastic Processes and their Applications, 2010, vol. 120, issue 4, 381-402

Abstract: Let [sigma]>0,[delta]>=1,b>=0, 0 1, then there is no solution.

Keywords: Primary: Stochastic ordinary differential equations Diffusion processes Local time and additive functionals Boundary value problems for second-order; parabolic equations Secondary: Dirichlet spaces Potentials and capacities (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (7)

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