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math.PR2025
On the Exact Distribution of the Sum of Two CIR Processes
Bilgi Yilmaz, Alper Hekimoglu
This paper derives the exact transition density and cumulative distribution function of a linear combination of two independent Cox-Ingersoll-Ross (CIR) processes. By combining the…
math.PR2025
On the fully analytical cumulative distribution of product of correlated Gaussian random Variables with zero means
Erdinc Akyildirim, Alper Hekimoglu
We derive a fully analytical, one-line closed-form expression for the cumulative distribution function (CDF) of the product of two correlated zero-mean normal random variables, avo…