Generalisation of Fractional-Cox-Ingersoll-Ross Process

Marc Mukendi Mpanda, Safari Mukeru and Mmboniseni Mulaudzi

Papers from arXiv.org

Abstract: In this paper, we define a generalised fractional Cox-Ingersoll-Ross process as a square of singular stochastic differential equation with respect to fractional Brownian motion with Hurst parameter H in (0,1) and continuous drift function. Firstly, we show that this differential equation has a unique solution which is continuous and positive up to the time of the first visit to zero. In addition, we prove that it is strictly positive everywhere almost surely for H > 1/2. In the case where H

Date: 2020-08, Revised 2022-07
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2008.07798 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2008.07798

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().