Hitting times for sticky skew CIR process

Abstract

In this paper, we consider an extended skew CIR processes with sticky points, which is referred to as the sticky skew CIR process. We first calculate the infinitesimal generator and its domain. To explore its trajectory properties, we compute the Laplace transforms and the expectations of first hitting times over a constant boundary. The solutions of Laplace transforms are expressed in terms of Tricomi and Kummer confluent hypergeometric functions.