HITTING TIME FOR BESSEL PROCESSES-WALK ON MOVING SPHERES ALGORITHM (WOMS)
成果类型：
Article
署名作者：
Deaconu, Madalina; Herrmann, Samuel
署名单位：
Universite de Lorraine; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite de Lorraine; Centre National de la Recherche Scientifique (CNRS); CNRS - National Institute for Mathematical Sciences (INSMI); Universite Bourgogne Europe
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/12-AAP900
发表日期：
2013
页码：
2259-2289
关键词：
摘要：
In this article we investigate the hitting time of some given boundaries for Bessel processes. The main motivation comes from mathematical finance when dealing with volatility models, but the results can also be used in optimal control problems. The aim here is to construct a new and efficient algorithm in order to approach this hitting time. As an application we will consider the hitting time of a given level for the Cox-Ingersoll-Ross process. The main tools we use are on one side, an adaptation of the method of images to this particular situation and on the other side, the connection that exists between Cox-Ingersoll-Ross processes and Bessel processes.