A stable Cox-Ingersoll-Ross model with restart

DOI10.1016/j.jmaa.2016.07.010zbMath1355.60113OpenAlexW2493976400MaRDI QIDQ739517

Jun Peng

Publication date: 18 August 2016

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2016.07.010

zbMATH Keywords

Markov processinfinitesimal generatordecay raterestartstable Cox-Ingersoll-Ross model

Mathematics Subject Classification ID

Related Items (1)

Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations

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