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

DOI10.3969/J.ISSN.1001-4268.2024.01.001MaRDI QIDQ6585928FDOQ6585928

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)

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zbMATH Keywords

fractionalstochastic differential equationBrownian motionCIR processEM methodOU process

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09)

Cites Work

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

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