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
stochastic differential equationStratonovich integralfractional Ornstein-Uhlenbeck processfractional Cox-Ingersoll-Ross process
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Related Items (10)
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