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Generalisation of fractional Cox-Ingersoll-Ross process - MaRDI portal

Generalisation of fractional Cox-Ingersoll-Ross process (Q2674613)

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Generalisation of fractional Cox-Ingersoll-Ross process
scientific article

    Statements

    title
    Generalisation of fractional Cox-Ingersoll-Ross process (English)
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    author
    Marc M. Mpanda
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    Safari Mukeru
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    Mmboniseni P. Mulaudzi
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    publication date
    14 September 2022
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    zbMATH Keywords
    fractional Brownian motion
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    fractional Cox-Ingersoll-Ross process
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    hitting times
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    Stratonovich integral
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    Identifiers

    Mathematics Subject Classification ID
    60G22
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    60H05
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    60H10
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    26A33
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    zbMATH DE Number
    7584406
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    OpenAlex ID
    W3060045924
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    arXiv ID
    2008.07798
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