Generalisation of fractional Cox-Ingersoll-Ross process (Q2674613): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / OpenAlex ID
 
Property / OpenAlex ID: W3060045924 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 2008.07798 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A survey and some generalizations of Bessel processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some Properties of CIR Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A note on the CIR process and the existence of equivalent martingale measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Long memory in continuous-time stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3581693 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Volatility is rough / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional Cox-Ingersoll-Ross process with non-zero ``mean'' / rank
 
Normal rank
Property / cites work
 
Property / cites work: A singular stochastic differential equation driven by fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Regularization of differential equations by fractional noise. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic integration with respect to the fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Selected aspects of fractional Brownian motion. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing Interest-Rate-Derivative Securities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations / rank
 
Normal rank

Latest revision as of 03:28, 30 July 2024

scientific article
Language Label Description Also known as
English
Generalisation of fractional Cox-Ingersoll-Ross process
scientific article

    Statements

    Generalisation of fractional Cox-Ingersoll-Ross process (English)
    0 references
    0 references
    0 references
    0 references
    14 September 2022
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    fractional Brownian motion
    0 references
    fractional Cox-Ingersoll-Ross process
    0 references
    hitting times
    0 references
    Stratonovich integral
    0 references
    0 references
    0 references