Free CIR processes

DOI10.1142/S0219025722500126MaRDI QIDQ5049882zbMATH OpenFDO

Authors H. Graf, Henry Port, G. Schlüchtermann

Publication date 14 November 2022

Published in Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.11714

zbMATH Keywords

CIRfree probabilitystochastic differential equationsstochastic processesvolatility

Mathematics Subject Classification ID

Free probability and free operator algebras (46L54) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: For stochastic processes of non-commuting random variables we formulate a Cox-Ingersoll-Ross (CIR) stochastic differential equation in the context of free probability theory which was introduced by Voicelescu. By transforming the classical CIR equation and the Feller condition, which ensures the existence of a positive solution, into the free setting (in the sense of having a strictly positive spectrum), we show the existence of a free CIR equation. The main challenge lies in the transition from a stochastic differential equation driven by a classical Brownian motion to a stochastic differential equation driven by the free analogue to the classical Brownian motion, the so-called free Brownian motion.

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Cited in

(5)

• On backward Kolmogorov equation related to CIR process
• Free CR distributions
• A note on generalized CIR equations
• Numerical Solution of Free Stochastic Differential Equations
• Stochastic theta methods for free stochastic differential equations

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