Fractional Lévy Cox–Ingersoll–Ross and Jacobi processes

Holger Fink and Georg Schlüchtermann

Statistics & Probability Letters, 2018, vol. 142, issue C, 84-91

Abstract: We prove a general Picard–Lindelöf-type framework for stochastic differential equations driven by Mandelbrot–Van Ness fractional Lévy processes. This allows us to derive the existence of a fractional Lévy Cox–Ingersoll–Ross and Jacobi model with almost surely positive, respectively bounded, samples paths.

Keywords: Fractional Lévy process; Cox–Ingersoll–Ross process; Jacobi process; Long memory (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:142:y:2018:i:c:p:84-91

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DOI: 10.1016/j.spl.2018.07.004

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