On First Hitting Times for Skew CIR Processes
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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.
KeywordsSkew CIR process First hitting times
Mathematics Subject Classification (2010)60H35
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