Fractional Levy Cox-Ingersoll-Ross and Jacobi processes

Fink, Holger und Schluechtermann, Georg (2018): Fractional Levy Cox-Ingersoll-Ross and Jacobi processes. In: Statistics & Probability Letters, Bd. 142: S. 84-91

Abstract

We prove a general Picard-Lindelof-type framework for stochastic differential equations driven by Mandelbrot-Van Ness fractional Levy processes. This allows us to derive the existence of a fractional Levy Cox-Ingersoll-Ross and Jacobi model with almost surely positive, respectively bounded, samples paths.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Statistik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 0167-7152
• Sprache: Englisch