A time inhomogeneous Cox-Ingersoll-Ross diffusion with jumps

Reinhard Hoepfner

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arXiv · 0906.1856

A time inhomogeneous Cox-Ingersoll-Ross diffusion with jumps

Reinhard Hoepfner

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Abstract

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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Reinhard Hoepfner. 2009-06-10. A time inhomogeneous Cox-Ingersoll-Ross diffusion with jumps. https://arxiv.org/abs/0906.1856

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