Generalisation of Fractional-Cox-Ingersoll-Ross Process

Abstract: In this paper, we define a generalised fractional Cox-Ingersoll-Ross process as a square of singular stochastic differential equation with respect to fractional Brownian motion with Hurst parameter H in (0,1) and continuous drift function. Firstly, we show that this differential equation has a unique solution which is continuous and positive up to the time of the first visit to zero. In addition, we prove that it is strictly positive everywhere almost surely for H > 1/2. In the case where H < 1/2, we consider a sequence of increasing functions and we prove that the probability of hitting zero tends to zero as n goes to infinity. These results are illustrated with some simulations using the generalisation of the extended Cox-Ingersoll-Ross process.