Exact and high-order discretization schemes for Wishart processes and their affine extensions

DOI10.1214/12-AAP863zbMath1269.65003arXiv1006.2281MaRDI QIDQ1950261

Abdelkoddousse Ahdida, Aurélien Alfonsi

Publication date: 10 May 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1006.2281

zbMATH Keywords

stochastic differential equation; exact simulation; Brownian motions; affine processes; Wishart processes; Cox-Ingersoll-Ross process; discretization schemes; Wishart distributions; Bartlett's decomposition

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91B70: Stochastic models in economics

60J65: Brownian motion

35R60: PDEs with randomness, stochastic partial differential equations

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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Uses Software

• AS 53

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