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Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process
Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process
2019
Yuliya Mishura
Vladimir I. Piterbarg
Kostiantyn Ralchenko
Anton Yurchenko-Tytarenko
Keywords:
Stochastic differential equation
Applied mathematics
Mathematical analysis
Stratonovich integral
Cox–Ingersoll–Ross model
Mathematics
Correction
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