A time inhomogenous Cox-Ingersoll-Ross diffusion with jumps
نویسنده
چکیده
We consider a time inhomogeneous Cox-Ingersoll-Ross diffusion with positive jumps. We exploit a branching property to prove existence of a unique strong solution under a restrictive condition on the jump measure. We give Laplace transforms for the transition probabilities, with an interpretation in terms of limits of mixtures over Gamma laws.
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