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

DOI10.1017/APR.2016.66MaRDI QIDQ2963686zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Uniform approximation of the Cox-Ingersoll-Ross process
• An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
• On approximations to generalized Cox processes
• Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range
• Strong approximation of stochastic processes at random times and application to their exact simulation
• scientific article; zbMATH DE number 5079105
• scientific article; zbMATH DE number 5697694
• Simulation of Cox processes driven by random Gaussian field
• Strong approximation of a Cox-Ingersoll-Ross process via approximation of the minimum of Brownian motion

Cited in

(9)

• Weak approximation of CIR equation by discrete random variables
• A functional limit theorem for coin tossing Markov chains
• scientific article; zbMATH DE number 7534789 (Why is no real title available?)
• Multilevel Monte Carlo using approximate distributions of the CIR process
• Numerical simulation of statistical behavior for fractional Cox-Ingersoll-Ross process
• Wasserstein convergence rates for random bit approximations of continuous Markov processes
• High order approximations of the Cox-Ingersoll-Ross process semigroup using random grids
• Properties of the EMCEL scheme for approximating irregular diffusions
• Uniform approximation of the Cox-Ingersoll-Ross process

This page was built for publication: Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2963686)