Prove that if [d r_{t}^{i}=left(delta_{i}-k r_{t}^{i} ight) d t+sigma sqrt{r_{t}^{i}} d W_{t}^{i}, i=1,2] where (W^{i}) are independent
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Prove that if
\[d r_{t}^{i}=\left(\delta_{i}-k r_{t}^{i}\right) d t+\sigma \sqrt{r_{t}^{i}} d W_{t}^{i}, i=1,2\]
where \(W^{i}\) are independent BMs, then the sum \(r^{1}+r^{2}\) is a CIR process. \(\triangleleft\)
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Related Book For 
Mathematical Methods For Financial Markets
ISBN: 9781447125242
1st Edition
Authors: Monique Jeanblanc, Marc Yor, Marc Chesney
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