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• W3020287538 abstract "We derive tail asymptotics for the running maximum of the CoxIngersoll-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." @default.
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• W3020287538 date "2022-06-30" @default.
• W3020287538 modified "2023-10-01" @default.
• W3020287538 title "The running maximum of the Cox-Ingersoll-Ross process with some properties of the Kummer function" @default.
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• W3020287538 doi "https://doi.org/10.54379/jiasf-2022-2-1" @default.
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