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A note on generalized CIR equations

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dc.abstract.enThe 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.
dc.affiliationUniwersytet Warszawski
dc.contributor.authorBarski, Michał
dc.contributor.authorZabczyk, Jerzy
dc.date.accessioned2024-01-24T18:04:27Z
dc.date.available2024-01-24T18:04:27Z
dc.date.issued2021
dc.description.financePublikacja bezkosztowa
dc.description.number2
dc.description.volume21
dc.identifier.doi10.4310/CIS.2021.V21.N2.A2
dc.identifier.issn1526-7555
dc.identifier.urihttps://repozytorium.uw.edu.pl//handle/item/101747
dc.identifier.weblinkhttp://dx.doi.org/10.4310/cis.2021.v21.n2.a2
dc.languageeng
dc.pbn.affiliationmathemathics
dc.relation.ispartofCommunications in Information and Systems
dc.relation.pages209-218
dc.rightsClosedAccess
dc.sciencecloudnosend
dc.subject.enCox–Ingersoll–Ross model
dc.subject.enbond market
dc.subject.enshort rate
dc.subject.enpositivity of stochastic equations
dc.titleA note on generalized CIR equations
dc.typeJournalArticle
dspace.entity.typePublication