Analytically Computing the Moments of a Conic Combination of Independent Noncentral Chi-Square Random Variables and Its Application for the Extended Cox–Ingersoll–Ross Process with Time-Varying Dimension

Analytically Computing the Moments of a Conic Combination of Independent Noncentral Chi-Square Random Variables and Its Application for the Extended Cox–Ingersoll–Ross Process with Time-Varying Dimension

This paper focuses mainly on the problem of computing the <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><msup><mi>γ</mi><mi>th</mi></msup></semantics></math></inlin...

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Bibliographic Details
Main Authors: Sanae Rujivan, Athinan Sutchada, Kittisak Chumpong, Napat Rujeerapaiboon
Format: Article
Language:English
Published: MDPI AG 2023-03-01
Series:Mathematics
Subjects:
moments
noncentral chi-square random variables
conic combinations
independent
extended Cox–Ingersoll–Ross process
time-varying dimension
Online Access:https://www.mdpi.com/2227-7390/11/5/1276

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https://www.mdpi.com/2227-7390/11/5/1276

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