University of Cambridge > Talks.cam > Isaac Newton Institute Seminar Series > Standard and fractional reflected OU processes in connection to square roots of CIR processes

  Browse A-Z

Log in

University Account External (via Google)

🔐 Log In

Information on

Subscribing to talksdetails Finding a talkdetails Adding a talkdetails Disseminating talksdetails Help and Documentationdetails

ℹī¸ Information

Standard and fractional reflected OU processes in connection to square roots of CIR processes

Download to your calendar using vCal

If you have a question about this talk, please contact nobody.

FD2W03 - Optimal control and fractional dynamics

We establish a new connection between Cox-Ingersoll-Ross (CIR)and reflected Ornstein-Uhlenbeck (ROU) models driven by either a standard Wienerprocess or a fractional Brownian motion with H > 1/2. We prove that, with probability1, the square root of the CIR process converges uniformly on compacts to the ROUprocess as the mean reversion parameter tends to either sigma^2/4 (in the standard case)or to 0 (in the fractional case). This also allows to obtain a new representation of thereflection function of the ROU as the limit of integral functionals of the CIR processes.The results   are illustrated by simulations.

This talk is part of the Isaac Newton Institute Seminar Series series.

This talk is included in these lists:

Note that ex-directory lists are not shown.

Other lists

CRASSH, SG2, ground floor, Alison Richard Building in person & via zoom FW26, Computer Laboratory, William Gates Builiding

Other talks

How bubble acoustics can help in three apocalypses Online Causal Inference Seminar Washing machines and their rare components: lessons from kidney patients Early cancer clinical trials Morning Tea and Coffee Title to be confirmed
 

Š 2006-2025 Talks.cam, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity