On the discretization schemes for the CIR (and Bessel squared) processes

DOI10.1515/156939605777438569MaRDI QIDQ3367271zbMATH OpenOpenAlexFDO

Authors Aurélien Alfonsi

Publication date 24 January 2006

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/156939605777438569

zbMATH Keywords

numerical examplescomparison of methodsdiscretization schemestochastic integro-differential equationCox-Ingersoll-Ross modelRomberg methodSquared Bessel process

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Random integral equations (45R05) Stochastic integral equations (60H20)

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• scientific article; zbMATH DE number 51724 (Why is no real title available?)
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• scientific article; zbMATH DE number 1478492 (Why is no real title available?)
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• Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions
• Implementing quasi-Monte Carlo simulations with linear transformations
• Weak approximation of Heston model by discrete random variables
• Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process
• Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations
• Harnack and super Poincaré inequalities for generalized Cox-Ingersoll-Ross model
• Strong approximation of some particular one-dimensional diffusions
• Uniform approximation of the Cox-Ingersoll-Ross process

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