| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7547833 | Statistics & Probability Letters | 2018 | 8 Pages |
Abstract
We prove a general Picard-Lindelöf-type framework for stochastic differential equations driven by Mandelbrot-Van Ness fractional Lévy processes. This allows us to derive the existence of a fractional Lévy Cox-Ingersoll-Ross and Jacobi model with almost surely positive, respectively bounded, samples paths.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Holger Fink, Georg Schlüchtermann,