Yes, a good case. In the past, the BC (or lack thereof) for [$]B[$] is well-known and as supervisor I demand (

)) that each student can work the schemes out from first principles. And stitch it up in C++. In fairness, this is a 3-month MSc projects so the students are working flat out to get results.

For your new great insight, we need indeed to know if a solution is unique or not and under which circumstances:

1. When Feller is satisfied

2. And when 1 in not satisfied

I suppose that numerical experimentation will give insights. Then PDE theory and energy estimates for well-posed PDE will give sufficient conditions for uniqueness. This has been done for bond price when Feller is satisfied by Fei Lu.

This is interesting also because the PDE is based on the Continuous Sensitivity Equation (CSE) approach.

BTW is it not so that CIR has a unique analytical solution for all values of the parameter regime?