Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve

Gerald Trutnau

Stochastic Processes and their Applications, 2011, vol. 121, issue 8, 1845-1863

Abstract: Let [sigma],[delta]>0,b>=0. Let , be continuous, and locally of bounded variation. We develop a general analytic criterion for the pathwise uniqueness of where p[set membership, variant](0,1), and is the symmetric semimartingale local time of R-[lambda]2. The criterion is related to the existence of nice (Kummer) functions for the time dependent infinitesimal generator of R. As a corollary we obtain explicit sufficient conditions for pathwise uniqueness. These are expressed in terms of [lambda]2, its derivative, and the parameters [sigma],[delta],b,p.

Keywords: Pathwise; uniqueness; Bessel; processes; Squared; Bessel; processes; Cox-Ingersoll-Ross; processes; Skew; reflection; Local; time; on; a; curve (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (6)

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