CoxIngersollRossProcess[, , , x0]
represents a Cox-Ingersoll-Ross process with long-term mean , volatility , speed of adjustment and initial condition .
- CoxIngersollRossProcess is also known as the CIR process.
- CoxIngersollRossProcess is a continuous-time and continuous-state random process.
- The state of the Cox-Ingersoll-Ross process satisfies an Ito differential equation , where follows a standard WienerProcess.
- CoxIngersollRossProcess allows , , and to be any positive real numbers.
- CoxIngersollRossProcess can be used with such functions as Mean, PDF, Probability, and RandomFunction.
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