The Cox-Ingersoll-Ross process under volatility uncertainty
Probability
2022-11-14 v1
Abstract
Due to the importance of the Cox-Ingersoll-Ross process in different areas of finance, a broad spectrum of studies and investigations on this model have been carried out. In case of ambiguity, we characterize it by applying the -expectation theory and the associated -Brownian motion. In this paper, we provide the existence and uniqueness of the solution of the Cox-Ingersoll-Ross process in the presence of volatility uncertainty. In addition, some properties of the solution are indicated, such as the regularity and strong Markov property. Besides, we calculate some moments of the CIR process using a generalization of the nonlinear Feynman-Kac theorem.
Cite
@article{arxiv.2211.06063,
title = {The Cox-Ingersoll-Ross process under volatility uncertainty},
author = {Bahar Akhtari and Hanwu Li},
journal= {arXiv preprint arXiv:2211.06063},
year = {2022}
}