Some remarks on the links between the VIR and Gompertz diffusion models and the links between the CIR and Rayleigh diffusion models
The main purpose of this work is to establish a new links between the stochastic Cox-Ingersoll-Ross (CIR) model and the stochastic Rayleigh diffusion process (SRDP) and the links between the Vasicek Interest Rate (VIR) process and the stochastic Gompertz diffusion process (SGDP). These links focus o...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
EJAAM
2023-12-01
|
| Series: | E-Journal of Analysis and Applied Mathematics |
| Subjects: | |
| Online Access: | https://ejaam.org/articles/2023/10.62780-ejaam-2023-001.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|