For the Cox-Ingersoll-Ross model $$\text{d}r_t = a(b-r_t)\text{d}t+\sigma\sqrt{r_t}\text{d}W_t$$ the condition (referred to as "Feller condition") $$2ab\geq\sigma^2$$ ensures that the solution is bounded below by zero. I see it being used all the time but I can't find a good source for citation... Can anybody help me out here?
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2$\begingroup$ There is a comprehensive discussion in Chapter 6 of the book mathematical methods for financial markets. $\endgroup$ – Gordon Mar 8 at 15:59
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$\begingroup$ See also this paper. $\endgroup$ – Gordon Mar 8 at 17:53
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1$\begingroup$ In the original CIR paper A Theory of the Term Structure of Interest Rates reference is made to Two Singular Diffusion Problems by Feller. Feller has all the details but it's not yet clear how to map the result there to the CIR paper. $\endgroup$ – Bob Jansen♦ Mar 9 at 8:28
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$\begingroup$ Thanks very much! :) $\endgroup$ – Alvo Mar 11 at 12:54
