Year: 2009
Type: preprint
Abstract: We consider a time inhomogeneous Cox-Ingersoll-Ross diffusion with positive jumps. We exploit a branching property to prove existence of a unique strong solution under a restrictive condition on the jump measure. We give Laplace transforms for the transition probabilities, with an interpretation in terms of limits of mixtures over Gamma laws.
Source: arXiv (Cornell University)
Author: Hoepfner, Reinhard
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1593581278