Numerical simulation of statistical behavior for fractional Cox-Ingersoll-Ross process

DOI10.3969/J.ISSN.1001-4268.2024.01.001MaRDI QIDQ6585928zbMATH OpenFDO

Authors Bo Wen Liu, Jing Zhang, Xiaopeng Chen

Publication date 12 August 2024

Published in Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

fractionalstochastic differential equationBrownian motionCIR processEM methodOU process

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09)

Recommendations

• On the discretization schemes for the CIR (and Bessel squared) processes
• Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times
• Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion
• Uniform approximation of the Cox-Ingersoll-Ross process
• The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion

Cites work

• An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
• An Intertemporal General Equilibrium Model of Asset Prices
• An algorithmic introduction to numerical simulation of stochastic differential equations
• Chi-square simulation of the CIR process and the Heston model
• Financial Markets with Memory I: Dynamic Models
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional Cox-Ingersoll-Ross process with non-zero ``mean
• Hypothesis testing of the drift parameter sign for fractional Ornstein-Uhlenbeck process
• Maximum entropy method for solving Fokker-Planck equations driven by fractional Brownian motion
• Modeling and pricing long memory in stock market volatility
• On the discretization schemes for the CIR (and Bessel squared) processes
• Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion
• Strong order one convergence of a drift implicit Euler scheme: application to the CIR process
• The fBm-driven Ornstein-Uhlenbeck process: probability density function and anomalous diffusion
• The wavelet-based synthesis for fractional Brownian motion proposed by F. Sellan and Y. Meyer: Remarks and fast implementation

This page was built for publication: Numerical simulation of statistical behavior for fractional Cox-Ingersoll-Ross process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6585928)