Fractional Cox-Ingersoll-Ross process with non-zero ``mean

DOI10.15559/18-VMSTA97zbMath1391.60078arXiv1804.01677OpenAlexW3104837162MaRDI QIDQ1641938

Anton Yurchenko-Tytarenko, Yuliya S. Mishura

Publication date: 20 June 2018

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.01677

zbMATH Keywords

stochastic differential equationStratonovich integralfractional Cox-Ingersoll-Ross process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Related Items (15)

The Fokker–Planck equation for the time-changed fractional Ornstein–Uhlenbeck stochastic process ⋮ Generalisation of fractional Cox-Ingersoll-Ross process ⋮ Sandwiched SDEs with unbounded drift driven by Hölder noises ⋮ Evaluation of integrals with fractional Brownian motion for different Hurst indices ⋮ Fractional diffusion Bessel processes with Hurst index \(H \in (0, \frac{1}{2})\) ⋮ Time-changed fractional Ornstein-Uhlenbeck process ⋮ Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes ⋮ Unnamed Item ⋮ Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift ⋮ CEV model equipped with the long-memory ⋮ 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 ⋮ Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion ⋮ Fractional Cox-Ingersoll-Ross process with small Hurst indices ⋮ Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation

Cites Work

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• Financial Markets with Memory I: Dynamic Models
• A generalized mean-reverting equation and applications
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• The characteristic function of rough Heston models

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