Existence results for the Cox-Ingersoll-Ross model with variable exponent diffusion
Probability
2025-09-22 v3 Analysis of PDEs
Abstract
This study proposes a new stochastic model where the diffusion coefficient involves a state-dependent variable exponent function . 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.
Cite
@article{arxiv.2507.17173,
title = {Existence results for the Cox-Ingersoll-Ross model with variable exponent diffusion},
author = {Mustafa Avci},
journal= {arXiv preprint arXiv:2507.17173},
year = {2025}
}