The sticky CIR process on [0,∞) has a unique invariant measure that mixes a point mass at zero with a gamma-type density, and admits an exact sampler via an explicit Green's function in the zero-potential case.
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Sticky CIR process with potential: invariant measure and exact sampling
The sticky CIR process on [0,∞) has a unique invariant measure that mixes a point mass at zero with a gamma-type density, and admits an exact sampler via an explicit Green's function in the zero-potential case.