PreprintCC BY 4.0arXiv
Symmetries and exact solutions of stochastic differential equations: the CIR model
Abstract
It is well known that in the celebrated Cox-Ingersoll-Ross process for interest rates there exists a critical relation among the model parameters. In the present work, we explain this critical relation by studying the symmetries of the stochastic differential equation and compute the solution of the model using this symmetry. In this way we also recover results of a recent paper where this property has been studied within a broader context by analyzing the relationships among the symmetries of stochastic differential equations and their corresponding forward Kolmogorov equations.
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BibTeX
@misc{rodriguez2026symmetries,
title = {{Symmetries and exact solutions of stochastic differential equations: the CIR model}},
author = {Miguel A. Rodríguez},
howpublished = {arXiv},
year = {2026},
month = oct,
doi = {10.48550/arxiv.2610.40316},
eprint = {2610.40316},
archivePrefix = {arXiv},
url = {https://arxiv.org/abs/2610.40316},
note = {CC BY 4.0},
}
RIS
TY - UNPB
TI - Symmetries and exact solutions of stochastic differential equations: the CIR model
AU - Miguel A. Rodríguez
PY - 2026
DA - 2026/10/29
PB - arXiv
DO - 10.48550/arxiv.2610.40316
UR - https://arxiv.org/abs/2610.40316
AB - It is well known that in the celebrated Cox-Ingersoll-Ross process for interest rates there exists a critical relation among the model parameters. In the present work, we explain this critical relation by studying the symmetries of the stochastic differential equation and compute the solution of the model using this symmetry. In this way we also recover results of a recent paper where this property has been studied within a broader context by analyzing the relationships among the symmetries of stochastic differential equations and their corresponding forward Kolmogorov equations.
ER -