Communications in Information and Systems
Volume 21 (2021)
A note on generalized CIR equations
Pages: 209 – 218
The note is a complement to the paper [M. Barski and J. Zabczyk, “On CIR equations with general factors”, SIAM Journal on Financial Mathematics 11, No. 1, 131–147] by the authors on the generalized CIR equation. We provide here a stochastic analysis proof of a crucial step of the proof in that paper which required there some advanced results on infinitesimal generators of a class of Markov processes.
Cox–Ingersoll–Ross model, bond market, short rate, positivity of stochastic equations
2010 Mathematics Subject Classification
Primary 60G51, 60H10. Secondary 91G30.
Received 15 May 2020
Published 3 June 2021