Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process

DOI10.1090/tpms/1055zbMath1409.60061arXiv1708.02712OpenAlexW2962814599WikidataQ128333964 ScholiaQ128333964MaRDI QIDQ3120627

A. Yu. Yurchenko-Tytarenko, Kostiantyn Ralchenko, Vladimir I. Piterbarg, Yuliya S. Mishura

Publication date: 5 March 2019

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.02712

zbMATH Keywords

stochastic differential equationStratonovich integralfractional Ornstein-Uhlenbeck processfractional Cox-Ingersoll-Ross process

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (10)

Fractional Cox-Ingersoll-Ross process with non-zero ``mean ⋮ The Fokker–Planck equation for the time-changed fractional Ornstein–Uhlenbeck stochastic process ⋮ Generalisation of fractional Cox-Ingersoll-Ross process ⋮ High excursions of Bessel and related random processes ⋮ Time-changed fractional Ornstein-Uhlenbeck process ⋮ Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift ⋮ APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL ⋮ Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes ⋮ Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications ⋮ Fractional Cox-Ingersoll-Ross process with small Hurst indices

Cites Work

• Unnamed Item
• Unnamed Item
• Correlation structure of fractional Pearson diffusions
• Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas
• Selected aspects of fractional Brownian motion.
• Hypothesis testing of the drift parameter sign for fractional Ornstein-Uhlenbeck process
• Fractional {O}rnstein-{U}hlenbeck processes
• The fBm Itô's formula through analytic continuation
• Modeling and pricing long memory in stock market volatility
• Stochastic viability and comparison theorems for mixed stochastic differential equations
• Fractional Pearson diffusions
• Stochastic calculus for fractional Brownian motion and related processes.
• Hitting times for Gaussian processes
• A Theory of the Term Structure of Interest Rates
• An Intertemporal General Equilibrium Model of Asset Prices
• On the Maximum of a Fractional Brownian Motion
• Financial Markets with Memory I: Dynamic Models
• Pricing under rough volatility
• A generalized mean-reverting equation and applications
• An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility

This page was built for publication: Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process