On a discrete version of the CIR process

DOI10.1080/10236198.2012.739618MaRDI QIDQ2846807zbMATH OpenOpenAlexFDO

Authors Moussa Kounta, Mario Lefebvre

Publication date 3 September 2013

Published in Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10236198.2012.739618

zbMATH Keywords

absorption problemsCox-Ingersoll-Ross processdiffusion processesdiscrete-time Markov chainsfinancial mathematicsgambler's ruin problemhydrology

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Hydrology, hydrography, oceanography (86A05) Stochastic models in economics (91B70)

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Cites work

• A supercongruence conjecture of Rodriguez-Villegas for a certain truncated hypergeometric function.
• A theory of the term structure of interest rates
• First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck process
• First hitting problems for Markov chains that converge to a geometric Brownian motion
• First Passage Problems for Asymmetric Wiener Processes
• First-passage problems for asymmetric diffusions and skew-diffusion processes
• High order discretization schemes for the CIR process: application to affine term structure and heston models
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• On the discretization schemes for the CIR (and Bessel squared) processes

Cited in

(3)

• First passage time of a Markov chain that converges to Bessel process
• Dynamic pricing with stochastic reference price effect
• The compulsive gambler process

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