A time inhomogeneous Cox-Ingersoll-Ross diffusion with jumps

Details A time inhomogeneous Cox-Ingersoll-Ross diffusion with jumps A time inhomogeneous Cox-Ingersoll-Ross diffusion with jumps

2009-06-10

arxiv.org/abs/0906.1856v1

Mathematics

Probability

Scientific paper

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.

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