Existence results for the Cox-Ingersoll-Ross model with variable exponent diffusion
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arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866916956933718016 |
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| author | Avci, Mustafa |
| author_facet | Avci, Mustafa |
| contents | This study proposes a new stochastic model where the diffusion coefficient involves a state-dependent variable exponent function $p(\cdot)$. 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 Itô vs Stratonovich interpretations of the proposed model is provided. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2507_17173 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Existence results for the Cox-Ingersoll-Ross model with variable exponent diffusion Avci, Mustafa Probability Analysis of PDEs 60G07, 60H15, 60H20, 60H30 This study proposes a new stochastic model where the diffusion coefficient involves a state-dependent variable exponent function $p(\cdot)$. 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 Itô vs Stratonovich interpretations of the proposed model is provided. |
| title | Existence results for the Cox-Ingersoll-Ross model with variable exponent diffusion |
| topic | Probability Analysis of PDEs 60G07, 60H15, 60H20, 60H30 |
| url | https://arxiv.org/abs/2507.17173 |