Show that the steady state density function of the short rate at time T in the Cox–Ingersoll–Ross model is given by (Cox, Ingersoll and Ross, 1985) 

where ω = 2α/ρ² and ν = 2αγ/ρ². Show that the corresponding steady state mean and variance of r(T) are γ and γρ²/2α , respectively.

Transcribed Image Text:

lim g(r(T); r(t)) = T→∞ @v Γ(ν) rv - 1e-o -wr