Cox-Ingersoll-Ross (CIR)ΒΆ
Suppose that \(r_{t}\) evolves according to
\[dr_{t}=\kappa\left(\mu-r_{t}\right)dt+\eta\sqrt{r_{t}}dW_{t}.\]
Feller condition for positivity of the process is \(\kappa\mu>\frac{1}{2}\eta^{2}\).
Suppose that \(r_{t}\) evolves according to
Feller condition for positivity of the process is \(\kappa\mu>\frac{1}{2}\eta^{2}\).