Verhulst versus CIR (Q2355529): Difference between revisions

In the present paper, the author compares the CIR (Cox-Ingersoll-Ross) equation \[ \text{d}X_t = \lambda (\mu - X_t) \text{d}t + \sigma \sqrt{X_t} \text{d}B_t, \quad X_0 = x > 0, \] where \(\lambda,\mu,\sigma > 0\), and the SV (stochastic Verhulst) equation \[ \text{d}X_t = \lambda X_t (\mu - X_t) \text{d}t + \sigma X_t \circ \text{d}B_t , \quad X_0 = x > 0. \] He studies their solutions (not explicitly known for the CIR equation, but the SV equation admits an explicit solution), stationary densities (which coincide for both processes), moments (available in closed form for the CIR equation, but not for the SV equation) and numerical approximation schemes. As the moments are not available for the SV equation, the author presents two approaches in order to approximate their moments.