Free CIR Processes

Holger Fink; Henry Port; Georg Schlüchtermann

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arXiv · 1912.11714

Free CIR Processes

Holger Fink·Henry Port·Georg Schlüchtermann

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Abstract

For stochastic processes of non-commuting random variables we formulate a Cox-Ingersoll-Ross (CIR) stochastic differential equation in the context of free probability theory which was introduced by Voicelescu. By transforming the classical CIR equation and the Feller condition, which ensures the existence of a positive solution, into the free setting (in the sense of having a strictly positive spectrum), we show the existence of a free CIR equation. The main challenge lies in the transition from a stochastic differential equation driven by a classical Brownian motion to a stochastic differential equation driven by the free analogue to the classical Brownian motion, the so-called free Brownian motion.

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Holger Fink, Henry Port, Georg Schlüchtermann. 2019-12-25. Free CIR Processes. https://arxiv.org/abs/1912.11714

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