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

DOI10.1017/apr.2016.66zbMath1362.65016OpenAlexW2561169982MaRDI QIDQ2963686

John G. M. Schoenmakers, Grigori N. Milstein

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

numerical exampleSturm-Liouville problemBessel functionconfluent 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) Sturm-Liouville theory (34B24) 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)

Related Items (4)

Wasserstein convergence rates for random bit approximations of continuous Markov processes ⋮ Uniform approximation of the Cox-Ingersoll-Ross process ⋮ A functional limit theorem for coin tossing Markov chains ⋮ Properties of the EMCEL scheme for approximating irregular diffusions

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