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math.PR2026
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…
math.PR2025
RNN-BSDE method for high-dimensional fractional backward stochastic differential equations with Wick-Itô integrals
Chunhao Cai, Cong Zhang
Fractional Brownian motions(fBMs) are not semimartingales so the classical theory of Itô integral can't apply to fBMs. Wick integration as one of the applications of Malliavin cal…