Driven by Brownian motion Cox–Ingersoll–Ross and squared Bessel processes: Interaction and phase transition
This paper studies two related stochastic processes driven by Brownian motion: the Cox–Ingersoll–Ross (CIR) process and the Bessel process. We investigate their shared and distinct properties, focusing on time-asymptotic growth rates, distance between the processes in integral norms, and parameter estimation. The squared Bessel process is shown to be a phase transition of the CIR process and can be approximated by a sequence of CIR processes. Differences in stochastic stability are also highlighted, with the Bessel process displaying instability while the CIR process remains ergodic and stable.
Authors
- Yuliya Stepanovna Mishura (ORCID: https://orcid.org/0000-0002-6877-1800)
- Svitlana Kushnirenko (ORCID: https://orcid.org/0000-0002-8390-5870)
- Kostiantyn Ralchenko (ORCID: https://orcid.org/0000-0001-7208-3130)
Institutions
- Taras Shevchenko National University of Kyiv (UA)
- University of Vaasa (FI)
Publication Details
- Journal
- Physics of Fluids
- Published
- 2025-01-01
- DOI
- https://doi.org/10.1063/5.0244168
- Citations
- 1
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 2.21
Funders
- Academy of Finland
- Norges Forskningsråd
- Core Research for Evolutional Science and Technology