| Autor: |
Gerhold, Stefan, Hubalek, Friedrich, Paris, Richard B. |
| Rok vydání: |
2020 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
We derive tail asymptotics for the running maximum of the Cox-Ingersoll-Ross process. The main result is proved by the saddle point method, where the tail estimate uses a new monotonicity property of the Kummer function. This auxiliary result is established by a computer algebra assisted proof. Moreover, we analyse the coefficients of the eigenfunction expansion of the running maximum distribution asymptotically. |
| Databáze: |
arXiv |
| Externí odkaz: |
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