Wednesday, October 19, 2022 - 15:15 in V3-201 + Zoom
Connection between standard and fractional reflected Ornstein-Uhlenbeck processes and their Cox-Ingersoll-Ross counterparts
A talk in the Bielefeld Stochastic Afternoon series by
Yuliya Mishura
| Abstract: |
We consider standard and fractional Cox-Ingersoll-Ross processes under assumption that their drift coefficients tend to the critical values and show how they are transformed into reflected OU processes.
Within the CRC this talk is associated to the project(s): B1 |
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