Strong approximation of Bessel processes

DOI10.1007/S11009-023-09981-6MaRDI QIDQ6164838zbMATH OpenOpenAlexFDO

Authors Madalina Deaconu, Samuel Herrmann

Publication date 4 July 2023

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2106.00397

zbMATH Keywords

\(\varepsilon\)-strong approximationBessel processBrownian exit timepath simulation

Mathematics Subject Classification ID

Sample path properties (60G17) Sums of independent random variables; random walks (60G50) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Monte Carlo methods (65C05)

Abstract: We consider the path approximation of Bessel processes and develop a new and efficient algorithm. This study is based on a recent work by the authors, on the path approximation of the Brownian motion, and on the construction of specific own techniques. It is part of the family of the so-called $varepsilon$-strong approximations. More precisely, our approach constructs jointly the sequences of exit times and corresponding exit positions of some well-chosen domains, the construction of these domains being an important step. Based on this procedure, we emphasize an algorithm which is easy to implement. Moreover, we can develop the method for any dimension. We treat separately the integer dimension case and the non integer framework, each situation requiring appropriate techniques. In particular, for both situations, we show the convergence of the scheme and provide the control of the efficiency with respect to the small parameter $varepsilon$. We expand the theoretical part by a series of numerical developments.

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Cited in

(3)

• Optimal strong approximation of the one-dimensional squared Bessel process
• scientific article; zbMATH DE number 1210406 (Why is no real title available?)
• Strong approximation of some particular one-dimensional diffusions

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