Please use this identifier to cite or link to this item: http://hdl.handle.net/10995/102302
Title: Uniform approximation of the Cox-Ingersoll-Ross process
Authors: Milstein, G. N.
Schoenmakers, J.
Issue Date: 2015
Publisher: Applied Probability Trust
Citation: Milstein G. N. Uniform approximation of the Cox-Ingersoll-Ross process / G. N. Milstein, J. Schoenmakers. — DOI 10.1239/aap/1449859803 // Advances in Applied Probability. — 2015. — Vol. 47. — Iss. 4. — P. 1132-1156.
Abstract: The Doss-Sussmann (DS) approach is used for uniform simulation of the Cox-Ingersoll-Ross (CIR) process. TheDS formalism allows us to express trajectories of the CIR process through solutions of some ordinary differential equation (ODE) depending on realizations of aWiener process involved. By simulating the first-passage times of the increments of the Wiener process to the boundary of an interval and solving the ODE, we uniformly approximate the trajectories of the CIR process. In this respect special attention is payed to simulation of trajectories near 0. From a conceptual point of view the proposed method gives a better quality of approximation (from a pathwise point of view) than standard, even exact, simulation of the stochastic differential equation at some deterministic time grid. © 2015 Applied Probability Trust.
Keywords: BESSEL FUNCTION
CONFLUENT HYPERGEOMETRIC EQUATION
COX-INGERSOLL-ROSS PROCESS
DOSS-SUSSMANN FORMALISM
BESSEL FUNCTIONS
DIFFERENTIAL EQUATIONS
ORDINARY DIFFERENTIAL EQUATIONS
STOCHASTIC SYSTEMS
DOSS-SUSSMANN FORMALISM
FIRST PASSAGE TIME
HYPERGEOMETRIC
ORDINARY DIFFERENTIAL EQUATION (ODE)
SIMULATION OF TRAJECTORY
STOCHASTIC DIFFERENTIAL EQUATIONS
UNIFORM APPROXIMATION
UNIFORM SIMULATIONS
TRAJECTORIES
URI: http://hdl.handle.net/10995/102302
Access: info:eu-repo/semantics/openAccess
SCOPUS ID: 84956854529
PURE ID: 652464
09883f02-d21b-4398-97fd-d68c494237d3
ISSN: 18678
DOI: 10.1239/aap/1449859803
Appears in Collections:Научные публикации, проиндексированные в SCOPUS и WoS CC

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