Abstract
In this work, the first hitting times for skew CIR processes are investigated. We compute the Laplace transforms and the means of the first hitting times of some given levels. The solutions for Laplace transforms are in terms of Tricomi and Kummer confluent hypergeometric functions. We also exhibit the hitting time densities numerically at the end of this paper.
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This work was partially supported by the National Natural Science Foundation of China (No. 11101223 and 11271203).
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Song, S., Xu, G. & Wang, Y. On First Hitting Times for Skew CIR Processes. Methodol Comput Appl Probab 18, 169–180 (2016). https://doi.org/10.1007/s11009-014-9406-7
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DOI: https://doi.org/10.1007/s11009-014-9406-7