کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4614200 | 1339282 | 2016 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A stable Cox–Ingersoll–Ross model with restart
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آنالیز ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We consider a stable Cox–Ingersoll–Ross model in a domain D=[0,∞)D=[0,∞) which is killed at the boundary and which, while alive, jumps instantaneously at an exponentially distributed random time with intensity λ>0λ>0 to a new point, according to a distribution ν. From this new point, it repeats the above behavior independently of what has transpired previously. We give the infinitesimal generator of this new process and prove that the corresponding semigroup is compact and thus the spectrum of the generator consists exclusively of eigenvalues. We further show that the principal eigenvalue gives the exponential rate of decay of not exiting the domain by time t. Finally, we study some properties of the principal eigenvalue.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Analysis and Applications - Volume 444, Issue 2, 15 December 2016, Pages 1185–1194
Journal: Journal of Mathematical Analysis and Applications - Volume 444, Issue 2, 15 December 2016, Pages 1185–1194
نویسندگان
Jun Peng,