Fractional Levy Cox-Ingersoll-Ross and Jacobi processes

Fink, Holger and Schluechtermann, Georg (2018): Fractional Levy Cox-Ingersoll-Ross and Jacobi processes. In: Statistics & Probability Letters, Vol. 142: pp. 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.

• Item Type: Journal article
• Faculties: Mathematics, Computer Science and Statistics > Statistics
• Subjects: 500 Science > 510 Mathematics
• ISSN: 0167-7152
• Language: English