Proves well-posedness and unique invariant measure for the sticky CIR process and constructs exact and approximate samplers using Green's functions and Girsanov change of measure.
and Salminen, Paavo , TITLE =
2 Pith papers cite this work. Polarity classification is still indexing.
2
Pith papers citing it
fields
math.PR 2years
2026 2verdicts
UNVERDICTED 2representative citing papers
Generalized bridges with constraints solve Schrödinger problems, enabling broader financial equilibrium models with frictions and proving convergence of trading-cost equilibria to the classical Kyle model.
citing papers explorer
-
Sticky CIR process with potential: invariant measure and exact sampling
Proves well-posedness and unique invariant measure for the sticky CIR process and constructs exact and approximate samplers using Green's functions and Girsanov change of measure.
-
Schr\"odinger's problem with constraints
Generalized bridges with constraints solve Schrödinger problems, enabling broader financial equilibrium models with frictions and proving convergence of trading-cost equilibria to the classical Kyle model.