Where is it possible to find a complete derivation of the distribution of a CIR process?
There is a number of papers that claim that it is a noncentrical chi-squared distribution.
However, I cannot find anything where a detailed explanation of its derivation is given.
The starting point is the paper by Feller (1951) that deals with the PDE that is exactly the Kolmogorov Forward Equation / Fokker-Planck Equation for the CIR model. Nevertheless, that paper does not provide any explicit solution in the case where the so-called "Feller's condition" holds.
Other papers look incomplete or use other approaches. While the the most famous one (i.e. the transition probability derivation from a Kolgomogorov equation) seems unclear.
