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

Guangli Xu () and Xingchun Wang ()
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Guangli Xu: University of International Business and Economics

Methodology and Computing in Applied Probability, 2021, vol. 23, issue 3, 735-752

Abstract: Abstract 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.

Keywords: Doubly skewed CIR process; Transition density; First hitting time; Spectral expansion; 60G05; 60G40 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s11009-020-09775-0

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