On a discrete version of the CIR process

DOI10.1080/10236198.2012.739618zbMath1276.60077OpenAlexW2055252376MaRDI QIDQ2846807

Moussa Kounta, Mario Lefebvre

Publication date: 3 September 2013

Published in: Journal of Difference Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10236198.2012.739618

zbMATH Keywords

diffusion processeshydrologyfinancial mathematicsCox-Ingersoll-Ross processdiscrete-time Markov chainsgambler's ruin problemabsorption problems

Mathematics Subject Classification ID

Hydrology, hydrography, oceanography (86A05) Stochastic models in economics (91B70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (2)

First passage time of a Markov chain that converges to Bessel process ⋮ Dynamic pricing with stochastic reference price effect

Cites Work

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• First hitting problems for Markov chains that converge to a geometric Brownian motion
• First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck process
• A supercongruence conjecture of Rodriguez-Villegas for a certain truncated hypergeometric function.
• 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
• First Passage Problems for Asymmetric Wiener Processes
• First-Passage Problems for Asymmetric Diffusions and Skew-diffusion Processes

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