Symmetries and exact solutions of stochastic differential equations: the CIR model

Miguel A. Rodríguez

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arXiv · 2610.40316

Symmetries and exact solutions of stochastic differential equations: the CIR model

Miguel A. Rodríguez

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Abstract

It is well known that in the celebrated Cox-Ingersoll-Ross process for interest rates there exists a critical relation among the model parameters. In the present work, we explain this critical relation by studying the symmetries of the stochastic differential equation and compute the solution of the model using this symmetry. In this way we also recover results of a recent paper where this property has been studied within a broader context by analyzing the relationships among the symmetries of stochastic differential equations and their corresponding forward Kolmogorov equations.

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Miguel A. Rodríguez. 2026-10-29. Symmetries and exact solutions of stochastic differential equations: the CIR model. https://arxiv.org/abs/2610.40316

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