Fractional Bessel process

This paper considers a generalization of fractional Bessel type process. It is also a type of singular stochastic differential equations driven by fractional Brownian motion which has been studied by some authors.

7p viirenerosenfeld 02-06-2022 8 1   Download

This paper considersa generalization of fractional Bessel type process. It is also a type of singular stochastic differential equations driven by fractional Brownian motion which were studied by some authors. Undersome assumptions of coefficients, this equation has a unique positive solution.

7p nguaconbaynhay12 13-06-2021 18 1   Download

The real financial models such as the short term interest rates, the log-volatility in Heston model are very well modeled by a fractional Brownian motion. This fact raises a question of developing a fractional generalization of the classical processes such as Cox - Ingersoll - Ross process, Bessel process. In this paper, we are interested in the fractional Bessel process (Mishura, YurchenkoTytarenko, 2018).

6p mangamanga 29-02-2020 19 2   Download