Fractional Cox-Ingersoll-Ross process with small Hurst indices

DOI10.15559/18-VMSTA126zbMath1454.60053arXiv2001.03029OpenAlexW3100884383WikidataQ128683961 ScholiaQ128683961MaRDI QIDQ2326528

Anton Yurchenko-Tytarenko, Yuliya S. Mishura

Publication date: 8 October 2019

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.03029

zbMATH Keywords

stochastic differential equationfractional Brownian motionfractional Cox-Ingersoll-Ross processpathwise Stratonovich integral

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

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