Strong approximation of a Cox-Ingersoll-Ross process via approximation of the minimum of Brownian motion

zbMATH Open1378.60006MaRDI QIDQ4978554FDOQ4978554

Authors: André Herzwurm 

Publication date: 11 August 2017

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zbMATH Keywords

stochastic differential equationstrong approximationCox-Ingersoll-Ross processminimum of Brownian motion

Mathematics Subject Classification ID

Diffusion processes (60J60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Brownian motion (60J65)

Cited In (7)

• Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range
• On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes
• The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model
• Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times
• An adaptive splitting method for the Cox-Ingersoll-Ross process
• On the discretization schemes for the CIR (and Bessel squared) processes
• An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process

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