BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Talks.cam//talks.cam.ac.uk//
X-WR-CALNAME:Talks.cam
BEGIN:VEVENT
SUMMARY:Standard and fractional reflected OU processes in connection to  s
 quare roots of CIR processes - Yuliya Mishura (Taras Shevchenko National U
 niversity of Kyiv)
DTSTART:20220419T103000Z
DTEND:20220419T111500Z
UID:TALK171365@talks.cam.ac.uk
DESCRIPTION:We establish a new connection between Cox-Ingersoll-Ross (CIR)
 and reflected Ornstein-Uhlenbeck (ROU) models driven by either a standard 
 Wienerprocess or a fractional Brownian motion with H > 1/2.&nbsp\;We prove
  that\, with probability1\, the square root of the CIR process converges u
 niformly on compacts to the ROUprocess as the mean reversion parameter ten
 ds to either sigma^2/4 (in the standard case)or to 0 (in the fractional ca
 se). This also allows to obtain a new representation of thereflection func
 tion of the ROU as the limit of integral functionals of the CIR processes.
 The results&nbsp\; &nbsp\;are illustrated by simulations.
LOCATION:Seminar Room 1\, Newton Institute
END:VEVENT
END:VCALENDAR