The Cox-Ingersoll-Ross process under volatility uncertainty

DOI10.1016/J.JMAA.2023.127867arXiv2211.06063OpenAlexW4387747442MaRDI QIDQ6416898

Hanwu Li, Bahar Akhtari

Publication date: 11 November 2022

Full work available at URL: https://doi.org/10.1016/j.jmaa.2023.127867

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

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