On backward Kolmogorov equation related to CIR process

DOI10.15559/18-VMSTA98zbMath1391.60141arXiv1804.01693WikidataQ130172560 ScholiaQ130172560MaRDI QIDQ1641940

Gabrielė Mongirdaitė, Vigirdas Mackevičius

Publication date: 20 June 2018

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.01693

zbMATH Keywords

CIR processbackward Kolmogorov equationsquared Bessel process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (1)

Weak approximation of CKLS and CEV processes by discrete random variables

Cites Work

• A Schauder approach to degenerate-parabolic partial differential equations with unbounded coefficients
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• Higher-order implicit strong numerical schemes for stochastic differential equations
• A Theory of the Term Structure of Interest Rates
• On the discretization schemes for the CIR (and Bessel squared) processes
• High order discretization schemes for the CIR process: Application to affine term structure and Heston models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Second order PDE's in finite and infinite dimension

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