Mishura, Yuliya; Yurchenko-Tytarenko, Anton Fractional Cox-Ingersoll-Ross process with small Hurst indices. (English) Zbl 1454.60053 Mod. Stoch., Theory Appl. 6, No. 1, 13-39 (2019). Reviewer: David Nualart (Lawrence) MSC: 60G22 60H05 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Mishura, Yu. S.; Piterbarg, V. I.; Ralchenko, K. V.; Yurchenko-Tytarenko, A. Yu. Stochastic representation and path properties of a fractional Cox-Ingersoll-Ross process. (English. Ukrainian original) Zbl 1409.60061 Theory Probab. Math. Stat. 97, 167-182 (2018); translation from Teor. Jmovirn. Mat. Stat. 97, 157-170 (2017). MSC: 60G22 60G15 60H10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv