represents a Cox–Ingersoll–Ross process with long‐term mean μ, volatility σ, speed of adjustment θ, and initial condition x0.
- 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 x0 to be any positive real number, σ to be any nonzero real number, and θ and μ to be any nonzero real numbers of the same sign.
- CoxIngersollRossProcess can be used with such functions as Mean, PDF, Probability, and RandomFunction.
Examplesopen allclose all
Basic Examples (3)
Basic Uses (9)
Process Slice Properties (5)
CentralMoment and its generating function:
FactorialMoment and its generating function:
Cumulant and its generating function: