The spectral representation of bessel processes with constant drift: Applications in queueing and finance

Journal of Applied Probability

Volumn 41, Issue 2, 2004, Pages 327-344

  Linetsky, Vadim ^a,b  

^a NORTHWESTERN UNIVERSITY   (United States)

^b Northwestern University   (United States)

Author keywords

3 2 model; Bessel process; CIR model; Coulomb potential; Heavy traffic limit; Interest rate model; Pole seeking Brownian motion; Spectral expansion

Indexed keywords

EID: 3242772148     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1082999069     Document Type: Article

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