WIAS Preprint No. 2113, (2015)
Uniform approximation of the CIR process via exact simulation at random times
Authors
- Milstein, Grigori N.
- Schoenmakers, John G. M.
ORCID: 0000-0002-4389-8266
2010 Mathematics Subject Classification
- 65C30 60H35
Keywords
- Cox-Ingersoll-Ross process, Sturm-Liouville problem, Bessel functions, confluent hypergeometric equation
DOI
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.
Appeared in
- Adv. Appl. Probab., 48 (2016) pp. 1095--1116.
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