Cited by 19
Fractional Cox–Ingersoll–Ross process with non-zero «mean»

A Fractional Heston-Type Model as a Singular Stochastic Equation Driven by Fractional Brownian Motion
Marc Mukendi Mpanda
Journal:  Fractal and Fractional Volume 8, Issue 6 (2024), p. 330
APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL
YULIYA MISHURA, ANTON YURCHENKO-TYTARENKO
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CEV model equipped with the long-memory
Somayeh Fallah, Farshid Mehrdoust
Journal:  Journal of Computational and Applied Mathematics Volume 389 (2021), p. 113359
Evaluation of integrals with fractional Brownian motion for different Hurst indices
Fei Gao, Shuaiqiang Liu, Cornelis W. Oosterlee, Nico M. Temme
Journal:  International Journal of Computer Mathematics Volume 100, Issue 4 (2023), p. 847
Pub. online: 21 Dec 2018      Type: Research Article      Open accessOpen Access
Journal:  Modern Stochastics: Theory and Applications Volume 6, Issue 1 (2019), pp. 13–39
   Abstract
Fractional diffusion Bessel processes with Hurst index H∈(0,12)
Yuliya Mishura, Kostiantyn Ralchenko
Journal:  Statistics & Probability Letters Volume 206 (2024), p. 110008
From Constant to Rough: A Survey of Continuous Volatility Modeling
Giulia Di Nunno, Kęstutis Kubilius, Yuliya Mishura, Anton Yurchenko-Tytarenko
Journal:  Mathematics Volume 11, Issue 19 (2023), p. 4201
Interest rate derivatives for the fractional Cox-Ingersoll-Ross model
Jaya P.N. Bishwal
Journal:  Algorithmic Finance Volume 10, Issue 1-2 (2023), p. 53
Optimal strong convergence rate of a backward Euler type scheme for the Cox–Ingersoll–Ross model driven by fractional Brownian motion
Jialin Hong, Chuying Huang, Minoo Kamrani, Xu Wang
Journal:  Stochastic Processes and their Applications Volume 130, Issue 5 (2020), p. 2675
Option Pricing in Sandwiched Volterra Volatility Model
Giulia Di Nunno, Yuliya Mishura, Anton Yurchenko-Tytarenko
Journal:  SIAM Journal on Financial Mathematics Volume 15, Issue 3 (2024), p. 824
Parameter Estimation in Rough Bessel Model
Yuliya Mishura, Anton Yurchenko-Tytarenko
Journal:  Fractal and Fractional Volume 7, Issue 7 (2023), p. 508
Pathwise Convergent Approximation for the Fractional SDEs
Kęstutis Kubilius, Aidas Medžiūnas
Journal:  Mathematics Volume 10, Issue 4 (2022), p. 669
Positive Solutions of the Fractional SDEs with Non-Lipschitz Diffusion Coefficient
Kęstutis Kubilius, Aidas Medžiūnas
Journal:  Mathematics Volume 9, Issue 1 (2020), p. 18
Sandwiched SDEs with unbounded drift driven by Hölder noises
Giulia Di Nunno, Yuliya Mishura, Anton Yurchenko-Tytarenko
Journal:  Advances in Applied Probability Volume 55, Issue 3 (2023), p. 927
Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes
Yuliya Mishura, Anton Yurchenko-Tytarenko
Journal:  Stochastics Volume 95, Issue 1 (2023), p. 99
Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation
Shao-Qin Zhang, Chenggui Yuan
Journal:  Proceedings of the Royal Society of Edinburgh: Section A Mathematics Volume 151, Issue 4 (2021), p. 1278
The Fokker–Planck equation for the time-changed fractional Ornstein–Uhlenbeck stochastic process
Giacomo Ascione, Yuliya Mishura, Enrica Pirozzi
Journal:  Proceedings of the Royal Society of Edinburgh: Section A Mathematics Volume 152, Issue 4 (2022), p. 1032
The Implicit Euler Scheme for FSDEs with Stochastic Forcing: Existence and Uniqueness of the Solution
Kęstutis Kubilius
Journal:  Mathematics Volume 12, Issue 16 (2024), p. 2436
Time-changed fractional Ornstein-Uhlenbeck process
Giacomo Ascione, Yuliya Mishura, Enrica Pirozzi
Journal:  Fractional Calculus and Applied Analysis Volume 23, Issue 2 (2020), p. 450