Analyticity of the Cox-Ingersoll-Ross semigroup

DOI10.1007/S11117-019-00716-XzbMATH Open1445.35224OpenAlexW2983849518MaRDI QIDQ2194068FDOQ2194068

Authors: Simona Fornaro, Giorgio Metafune 

Publication date: 25 August 2020

Published in: Positivity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11117-019-00716-x

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zbMATH Keywords

one space dimensionanalytic semigroupcontractive and positive semigroupperturbed generator

Mathematics Subject Classification ID

Degenerate elliptic equations (35J70) Degenerate parabolic equations (35K65) One-parameter semigroups and linear evolution equations (47D06)

Cites Work

• A theory of the term structure of interest rates
• One-Parameter Semigroups for Linear Evolution Equations
• The parabolic differential equations and the associated semigroups of transformation
• Local existence and regularity for a class of degenerate parabolic equations
• Some classes of non-analytic Markov semigroups
• \(L^p\)-regularity for elliptic operators with unbounded coefficients
• Ventcel's boundary conditions and analytic semigroups
• Analyticity for some degenerate one-dimensional evolution equations
• Positive operator semigroups. From finite to infinite dimensions
• A generalized Cox-Ingersoll-Ross equation with growing initial conditions
• On the domain of some ordinary differential operators in spaces of continuous functions
• The semigroup governing the generalized Cox-Ingersoll-Ross equation

Cited In (5)

• A stable Cox-Ingersoll-Ross model with restart
• The semigroup governing the generalized Cox-Ingersoll-Ross equation
• On a class of problems related to financial mathematics
• A generalized Cox-Ingersoll-Ross equation with growing initial conditions
• A nonautonomous Cox-Ingersoll-Ross equation with growing initial conditions

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