A note on generalized CIR equations

DOI10.4310/CIS.2021.V21.N2.A2zbMath1492.60158OpenAlexW3172040370MaRDI QIDQ2048470

Michał Barski, Zabczyk, Jerzy

Publication date: 6 August 2021

Published in: Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/cis.2021.v21.n2.a2

zbMATH Keywords

bond marketCox-Ingersoll-Ross modelshort ratepositivity of stochastic equations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

On CIR Equations with General Factors

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