کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4638848 | 1632018 | 2015 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Skew Ornstein–Uhlenbeck processes and their financial applications
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In this paper, we investigate a special class of skew diffusions: skew Ornstein–Uhlenbeck (abbr. OU) processes, whose scale and speed densities are both piecewise functions. The existence and uniqueness of solutions regarding the related stochastic differential equations (abbr. SDEs) with local time are established, as well as the construction through time changes. Afterwards, we concentrate on three computing issues including the explicit expressions of transition densities, the cumulative distributions and Laplace transforms of the first hitting times for skew OU processes. With the hypothesis on asset dynamics, two financial instances in the field of credit risk are illustrated at the end of this paper.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 273, 1 January 2015, Pages 363–382
Journal: Journal of Computational and Applied Mathematics - Volume 273, 1 January 2015, Pages 363–382
نویسندگان
Suxin Wang, Shiyu Song, Yongjin Wang,