论文标题
在波动不确定性下的Cox-Ingersoll-Ross过程
The Cox-Ingersoll-Ross process under volatility uncertainty
论文作者
论文摘要
由于在不同金融领域的Cox-Ingersoll过程的重要性，已经对该模型进行了广泛的研究和研究。如果有歧义，我们通过应用$ g $ - 期望理论和相关的$ g $ -Brownian动议来表征它。在本文中，我们提供了在挥发性不确定性的情况下，我们提供了Cox-Intersoll-Ross过程解决方案的存在和独特性。此外，还指示了解决方案的某些特性，例如规律性和强大的马尔可夫特性。此外，我们使用非线性FEYNMAN-KAC定理计算CIR过程的某些时刻。
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.
