论文标题
具有Kummer函数的某些属性的Cox-ingersoll-ross过程的运行最大
The running maximum of the Cox-Ingersoll-Ross process with some properties of the Kummer function
论文作者
论文摘要
我们为Cox-Ingersoll-Ross过程的最大运行提供了尾巴渐近学。主要结果通过鞍点方法证明，其中尾部估计使用Kummer函数的新单调性属性。该辅助结果由计算机代数辅助证明确定。此外，我们分析了渐近运行最大分布的本征功能扩展的系数。
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.
