The Cox-Ingersoll-Ross process under volatility uncertainty

Bahar Akhtari; Hanwu Li

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arXiv · 2211.06063

The Cox-Ingersoll-Ross process under volatility uncertainty

Bahar Akhtari·Hanwu Li

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Abstract

Due to the importance of the Cox-Ingersoll-Ross process in different areas of finance, a broad spectrum of studies and investigations on this model have been carried out. In case of ambiguity, we characterize it by applying the $G$-expectation theory and the associated $G$-Brownian motion. In this paper, we provide the existence and uniqueness of the solution of the Cox-Ingersoll-Ross process in the presence of volatility uncertainty. In addition, some properties of the solution are indicated, such as the regularity and strong Markov property. Besides, we calculate some moments of the CIR process using a generalization of the nonlinear Feynman-Kac theorem.

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Bahar Akhtari, Hanwu Li. 2022-11-11. The Cox-Ingersoll-Ross process under volatility uncertainty. https://arxiv.org/abs/2211.06063

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