Verhulst versus CIR

DOI10.1007/s10986-015-9269-9zbMath1403.91358OpenAlexW2092485962MaRDI QIDQ2355529

Vigirdas Mackevičius

Publication date: 23 July 2015

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-015-9269-9

zbMATH Keywords

simulationVerhulst equationsplit-step approximationsstrong and weak approximationsCIR equationmoment-closure conditionmoments of a process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization ⋮ Optimization model to start harvesting in stochastic aquaculture system ⋮ Density of generalized Verhulst process and Bessel process with constant drift ⋮ Moderate deviations and central limit theorem for positive diffusions ⋮ On the distribution of verhulst process

Cites Work

• Weak approximation of CIR equation by discrete random variables
• Strong order one convergence of a drift implicit Euler scheme: application to the CIR process
• On weak approximations of CIR equation with high volatility
• A Theory of the Term Structure of Interest Rates
• On the discretization schemes for the CIR (and Bessel squared) processes
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models
• An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process
• Unnamed Item

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