A generalized cox-ingersoll-ross equation with growing initial conditions
Abstract
In this paper we solve the problem of the existence and strong continuity of the semigroup associated with the initial value problem for a generalized Cox-Ingersoll-Ross equation for the price of a zero-coupon bond (see [8]), on spaces of continuous functions on [0, ∞) which can grow at infinity. We focus on the Banach spaces (Equation presented), which contain the nonzero constants very common as initial data in the Cauchy problems coming from financial models. In addition, a Feynman-Kac type formula is given.
Publication Title
Discrete and Continuous Dynamical Systems - Series S
Recommended Citation
Goldstein, G., Goldstein, J., Mininni, R., & Romanelli, S. (2020). A generalized cox-ingersoll-ross equation with growing initial conditions. Discrete and Continuous Dynamical Systems - Series S, 13 (5), 1513-1528. https://doi.org/10.3934/dcdss.2020085
