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arXiv · 2507.17173

Existence results for the Cox-Ingersoll-Ross model with variable exponent diffusion

Mustafa Avci
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Abstract

This study proposes a new stochastic model where the diffusion coefficient involves a state-dependent variable exponent function $p(\cdot)$. This new theoretically flexible framework generalizes the classical Cox-Ingersol-Ross model. The existence, uniqueness, and higher moment properties of solutions are analyzed. The validity and efficiency of the model is illustrated with numerical experiments. Finally, a detailed analysis for It\^o vs Stratonovich interpretations of the proposed model is provided.

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Mustafa Avci. 2025-07-23. Existence results for the Cox-Ingersoll-Ross model with variable exponent diffusion. https://arxiv.org/abs/2507.17173

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