Let [sigma]>0,[delta]>=1,b>=0, 0<p<1. Let [lambda] be a continuous and positive function in . Using the technique of moving domains (see Russo and Trutnau (2005) [9]), and classical direct stochastic calculus, we construct for positive initial conditions a pair of continuous and positive semimartingales with and where the symmetric local times , of the respective semimartingales are related through the formula Well-known special cases are the (squared) Bessel processes (choose [sigma]=2, b=0, and [lambda]2[reverse not equivalent]0, or equivalently ), and the Cox-Ingersoll-Ross process (i.e. R, with [lambda]2[reverse not equivalent]0, or equivalently ). The case 0<[delta]<1 can also be handled, but is different. If p>1, then there is no solution.

Technology diffusion of medical innovations is a complex evolutionary process. The specificities on the demand as well as on the supply side have a crucial impact on their diffusion paths. This paper aims to investigate the diffusion process of two competing innovative technologies in the health...

The paper estimates the speed of convergence of the Euler approximation for diffussion processes with jump component which have Holder continuous coefficients.

In a Markovian setting, we introduce a class of pricing measures and forward measures. Using multiplicative perturbation theory of Markovian semigroups, we study the relationship between the pricing semigroup and the forward semigroup, and obtain the forward semigroup pricing method....

This paper considers the problem of numerically evaluating American option prices when the dynamics of the underlying are driven by both stochastic volatility following the square root process of Heston [18], and by a Poisson jump process of the type originally introduced by Merton [25]. We...

This paper is concerned with option pricing in an incomplete market driven by a jump-diffusion process. We price options according to the principle of utility indifference. Our main contribution is an efficient multi-nomial tree method for computing the utility indifference prices for both...