From CKLS Process to CIR-type Process: Using a Twice-differentiable Mapping and Generalized Girsanov's Theorem

Boyuan Ning, Yasutaka Shimizu

We construct a twice-differentiable mapping $T:{\mathbb{R}}_{+}\to {\mathbb{R}}_{+}$ satisfying $T^{\prime }(x)x^k=L\sqrt{T(x)}$ for a given constant $L$ and apply it to the CKLS short-rate process…