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Generalisation of Fractional-Cox-Ingersoll-Ross Process

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  • Marc Mukendi Mpanda
  • Safari Mukeru
  • Mmboniseni Mulaudzi

Abstract

In this paper, we define a generalised fractional Cox-Ingersoll-Ross process as a square of singular stochastic differential equation with respect to fractional Brownian motion with Hurst parameter H in (0,1) and continuous drift function. Firstly, we show that this differential equation has a unique solution which is continuous and positive up to the time of the first visit to zero. In addition, we prove that it is strictly positive everywhere almost surely for H > 1/2. In the case where H

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  • Marc Mukendi Mpanda & Safari Mukeru & Mmboniseni Mulaudzi, 2020. "Generalisation of Fractional-Cox-Ingersoll-Ross Process," Papers 2008.07798, arXiv.org, revised Jul 2022.
    • Handle: RePEc:arx:papers:2008.07798
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    References listed on IDEAS

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