<div class="csl-bib-body">
<div class="csl-entry">Gerhold, S., Hubalek, F., & Paris, R. B. (2022). The running maximum of the Cox-Ingersoll-Ross process with some properties of the Kummer function. <i>Journal of Inequalities and Special Functions</i>, <i>13</i>(2), 1–18. https://doi.org/10.54379/jiasf-2022-2-1</div>
</div>
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/144311
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dc.description.abstract
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.
en
dc.language.iso
en
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dc.publisher
Ilirias Publ.
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dc.relation.ispartof
Journal of Inequalities and Special Functions
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dc.subject
Kummer function
en
dc.subject
confluent hypergeometric function
en
dc.subject
Cox-Ingersoll-Ross process
en
dc.subject
running maximum
en
dc.subject
saddle point method
en
dc.subject
computer algebra
en
dc.subject
eigenfunction expansion
en
dc.title
The running maximum of the Cox-Ingersoll-Ross process with some properties of the Kummer function
en
dc.type
Article
en
dc.type
Artikel
de
dc.contributor.affiliation
Abertay University, Dundee
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dc.description.startpage
1
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dc.description.endpage
18
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dcterms.dateSubmitted
2022
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dc.type.category
Original Research Article
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tuw.container.volume
13
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tuw.container.issue
2
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tuw.journal.peerreviewed
true
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tuw.peerreviewed
true
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wb.publication.intCoWork
International Co-publication
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tuw.researchTopic.id
A4
-
tuw.researchTopic.id
A3
-
tuw.researchTopic.name
Mathematical Methods in Economics
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tuw.researchTopic.name
Fundamental Mathematics Research
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tuw.researchTopic.value
5
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tuw.researchTopic.value
95
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dcterms.isPartOf.title
Journal of Inequalities and Special Functions
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tuw.publication.orgunit
E105 - Institut für Stochastik und Wirtschaftsmathematik
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tuw.publisher.doi
10.54379/jiasf-2022-2-1
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dc.date.onlinefirst
2022
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dc.identifier.eissn
2217-4303
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dc.description.numberOfPages
18
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tuw.author.orcid
0000-0002-4172-3956
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wb.sciencebranch
Mathematik
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wb.sciencebranch.oefos
1010
-
wb.sciencebranch.value
100
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item.openairetype
Article
-
item.openairetype
Artikel
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item.grantfulltext
none
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item.cerifentitytype
Publications
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item.cerifentitytype
Publications
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item.languageiso639-1
en
-
item.openairecristype
http://purl.org/coar/resource_type/c_18cf
-
item.openairecristype
http://purl.org/coar/resource_type/c_18cf
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item.fulltext
no Fulltext
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crisitem.author.dept
E105-01 - Forschungsbereich Risikomanagement in Finanz- und Versicherungsmathematik
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crisitem.author.dept
E105-05 - Forschungsbereich Stochastische Finanz- und Versicherungsmathematik
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crisitem.author.dept
Abertay University, Dundee
-
crisitem.author.orcid
0000-0002-4172-3956
-
crisitem.author.parentorg
E105 - Institut für Stochastik und Wirtschaftsmathematik
-
crisitem.author.parentorg
E105 - Institut für Stochastik und Wirtschaftsmathematik