Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model

DOI10.15559/16-VMSTA48zbMath1352.60050arXiv1604.01584MaRDI QIDQ340805

Yevheniia Munchak, Yuliya S. Mishura

Publication date: 15 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.01584

zbMATH Keywords

weak convergencefunctional limit theoremsCox-Ingersoll-Ross processdiscrete approximation scheme

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Functional limit theorems; invariance principles (60F17)

Related Items

Two methods of estimation of the drift parameters of the Cox–Ingersoll–Ross process: Continuous observations

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