Symmetries and exact solutions of stochastic differential equations: the CIR model

It is well known that in the celebrated Cox-Ingersoll-Ross process for interest rates there exists a critical relation among the model parameters. In the present work, we explain this critical relation by studying the symmetries of the stochastic differential equation and compute the solution of the model using this symmetry. In this way we also recover results of a recent paper where this property has been studied within a broader context by analyzing the relationships among the symmetries of stochastic differential equations and their corresponding forward Kolmogorov equations.

Authors

Publication Details

Journal
arXiv (Cornell University)
Published
2026-10-29
DOI
https://doi.org/10.48550/arxiv.2610.40316
Primary Topic
Stochastic processes and financial applications
Type
preprint
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preprint

Symmetries and exact solutions of stochastic differential equations: the CIR model

Miguel A. Rodríguez
arXiv (Cornell University)
Stochastic processes and financial applications
preprint

Symmetries and exact solutions of stochastic differential equations: the CIR model

Miguel A. Rodríguez
preprint en

Abstract

It is well known that in the celebrated Cox-Ingersoll-Ross process for interest rates there exists a critical relation among the model parameters. In the present work, we explain this critical relation by studying the symmetries of the stochastic differential equation and compute the solution of the model using this symmetry. In this way we also recover results of a recent paper where this property has been studied within a broader context by analyzing the relationships among the symmetries of stochastic differential equations and their corresponding forward Kolmogorov equations.

arXiv (Cornell University)
Stochastic processes and financial applications
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Symmetries and exact solutions of stochastic differential equations: the CIR model — Miguel A. Rodríguez · arXiv (Cornell University) (2026) | TGRS Research Map | TGRS