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math.PR2025
A mixed fractional CIR model: positivity and an implicit Euler scheme
Cong Zhang, Chunhao Cai
We consider a Cox--Ingersoll--Ross (CIR) type short rate model driven by a mixed fractional Brownian motion. Let be a one-dimensional mixed fractional Brownian motion wit…
math.PR2025
LAN Property for the Drift and Hurst Paramters in The Mixed Fractional O-U Process with Continuous Observations
Chunhao Cai, Cong Zhang
This paper deals with the Local Asymptotical normality for the joint drift parameter and Hurst parameter in the mixed fractional Ornstein-Uhlenbeck process. Different from…