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Parameter sensitivity of CIR process

   
@article{ECP2035,
	author = {Sidi Mohamed Ould Aly},
	title = {Parameter sensitivity of CIR process},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {18},
	year = {2013},
	keywords = {CIR process; sensitivity},
	abstract = {We study the differentiability of the CIR process with respect to its parameters. We give a stochastic representation for these derivatives in terms of the paths of V.
},
	pages = {no. 34, 1-6},
	issn = {1083-589X},
	doi = {10.1214/ECP.v18-2035},    
        url = {http://ecp.ejpecp.org/article/view/2035}}