Existence results for the Cox-Ingersoll-Ross model with variable exponent diffusion
Abstract
This study proposes a new stochastic model where the diffusion coefficient involves a state-dependent variable exponent function p(·). This new theoretically flexible framework generalizes the classical Cox-Ingersol-Ross model. The existence, uniqueness, and higher moment properties of solutions are analyzed. The validity and efficiency of the model is illustrated with numerical experiments. Finally, a detailed analysis for It\o vs Stratonovich interpretations of the proposed model is provided.
0
Turn this paper into a full lesson
ArcXiv compiles a staged curriculum from this paper: 8-12 lessons across beginner → advanced, synthesised section guides, visuals, flashcards, a quiz, exercises, and on-demand deep dives per section. Grounded in the abstract, never invented.