Two methods of estimation of the drift parameters of the Cox-Ingersoll-Ross process: continuous observations

Olena Dehtiar, Yuliya Mishura, Kostiantyn Ralchenko

We consider a stochastic differential equation of the form $d{r}_t=(a-b{r}_t)dt+\sigma \sqrt{r_t}d{W}_t$, where $a$, $b$ and $\sigma$ are positive constants. The solution corresponds to the…