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• W2201647529 abstract "In this paper we uniformly approximate the trajectories of the Cox-IngersollRoss (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. AMS 2010 subject classication. Primary 65C30; secondary 60H35." @default.
• W2201647529 created "2016-06-24" @default.
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• W2201647529 date "2015-05-28" @default.
• W2201647529 modified "2023-09-27" @default.
• W2201647529 title "Uniform approximation of the CIR process via exact simulation at random times" @default.
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