Standard and fractional stochastic differential equations of CIR and CKLS type: properties of solutions, reflection and statistical inference

Lecturer: Yuliya Mishura

Abstract: we shall start with Cox-Ingersoll-Ross equations and investigate the properties of solutions depending of the number of degrees of freedom. Then it will be demonstrated how the change of degrees of freedom stimulates appearance of the reflection processes. Then the same questions will be studied for fractional CIR and CKLS processes and moreover, for the solutions of SDEs with Hӧlder noise of any Hӧlder order. Statistical parameter estimators for these models will be constructed.