MPS-RR 2001-26
August 2001

Examples of multivariate diffusions: time-reversibility; a Cox-Ingersoll-Ross type process

Martin Jacobsen

Abstract

Concrete examples are given of multivariate diffusions, which are either time-reversible with an invariant density that can be determined explicitly, or, in the case of the Cox-ingersoll-Ross type process, have other attractive features, including an agglomeration property and a description in terms of time-changes of a multivariate Brownian motion with a certain drift and covariance.

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