Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times

DOI10.1017/APR.2016.66zbMATH Open1362.65016OpenAlexW2561169982MaRDI QIDQ2963686FDOQ2963686

Authors: Grigori N. Milstein, John Schoenmakers 

Publication date: 21 February 2017

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1482548430

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zbMATH Keywords

Bessel functionnumerical exampleSturm-Liouville problemconfluent hypergeometric equationCox-Ingersoll-Ross process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Sturm-Liouville theory (34B24)

Cited In (9)

• Weak approximation of CIR equation by discrete random variables
• Multilevel Monte Carlo using approximate distributions of the CIR process
• Wasserstein convergence rates for random bit approximations of continuous Markov processes
• Numerical simulation of statistical behavior for fractional Cox-Ingersoll-Ross process
• Title not available (Why is that?)
• High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids
• Properties of the EMCEL scheme for approximating irregular diffusions
• A functional limit theorem for coin tossing Markov chains
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