The Cox-Ingersoll-Ross process under volatility uncertainty

被引：1

作者：

Akhtari, Bahar ^{[1
]}

Li, Hanwu ^{[2
,3
]}

机构：

[1] Univ Isfahan, Fac Math & Stat, Dept Appl Math & Comp Sci, Esfahan 73441, Iran

[2] Shandong Univ, Res Ctr Math & Interdisciplinary Sci, Binhai Rd 72, Qingdao 266237, Shandong, Peoples R China

[3] Shandong Univ, Frontiers Sci Ctr Nonlinear Expectat, Minist Educ, Binhai Rd 72, Qingdao 266237, Shandong, Peoples R China

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2024年 / 531卷 / 01期

关键词：

Cox-Ingersoll-Ross process; Volatility uncertainty; Existence and uniqueness; Strong Markov property; DIFFERENTIAL-EQUATIONS DRIVEN; VISCOSITY SOLUTIONS; AMBIGUOUS VOLATILITY; TERM STRUCTURE; SCHEMES; THEOREM;

D O I：

10.1016/j.jmaa.2023.127867

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Due to the significance of the Cox-Ingersoll-Ross process in various areas of finance, a wide range of studies and investigations on this model have been carried out. In cases of ambiguity, we characterize it by applying the theory of G- expectation and the associated G- Brownian motion. In this paper, we establish the existence and uniqueness of the solution for the Cox-Ingersoll-Ross process in the presence of volatility uncertainty. In addition, certain properties of the solution are indicated, such as regularity and the strong Markov property. Furthermore, we compute some moments of the Cox-Ingersoll-Ross process by employing an extension of the nonlinear Feynman-Kac theorem. (c) 2023 Elsevier Inc. All rights reserved.

引用

页数：29

共 47 条

[21] High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids
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[28] New Approximations to Bond Prices in the Cox-Ingersoll-Ross Convergence Model with Dynamic Correlation
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[29] Standard and fractional reflected Ornstein-Uhlenbeck processes as the limits of square roots of Cox-Ingersoll-Ross processes
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[30] Analysis of non-negativity and convergence of solution of the balanced implicit method for the delay Cox-Ingersoll-Ross model
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