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December 2016 Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times
Grigori N. Milstein, John Schoenmakers
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Adv. in Appl. Probab. 48(4): 1095-1116 (December 2016).

Abstract

In this paper we uniformly approximate the trajectories of the Cox–Ingersoll–Ross (CIR) process. At a sequence of random times the approximate trajectories will be even exact. In between, the approximation will be uniformly close to the exact trajectory. From a conceptual point of view, the proposed method gives a better quality of approximation in a path-wise sense than standard, or even exact, simulation of the CIR dynamics at some deterministic time grid.

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Grigori N. Milstein. John Schoenmakers. "Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times." Adv. in Appl. Probab. 48 (4) 1095 - 1116, December 2016.

Information

Published: December 2016
First available in Project Euclid: 24 December 2016

zbMATH: 1362.65016
MathSciNet: MR3595767

Subjects:
Primary: 65C30
Secondary: 60H35

Rights: Copyright © 2016 Applied Probability Trust

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Vol.48 • No. 4 • December 2016
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