Skip to content
Research Article Open access CC BY 4.0

Revisiting Feller Diffusion: Derivation and Simulation

Ranjiva Munasinghe, Leslie Kanthan, Pathum Kossinna

Journal of Advances in Mathematics and Computer Science · pp. 1–15 · Published 13 Jul 2019

10.9734/jamcs/2019/v33i130169

Abstract

We propose a simpler derivation of the probability density function of Feller Diffusion by using the Fourier Transform on the associated Fokker-Planck equation and then solving the resulting equation via the Method of Characteristics. We use the derived probability density to formulate an exact simulation algorithm whereby a sample path increment is drawn directly from the density. We then proceed to use the simulation to verify key statistical properties of the process such as the moments and the martingale property. The simulation is also used to confirm properties related to hitting time probabilities. We also mention potential applications of the simulation in the setting of quantitative finance.

Feller diffusion bessel squared process simulation absorbing random walks survival probability.

Cited by 0

No indexed citations yet.

Article metrics

Real usage data collected on this platform.

10

Page views

0

PDF downloads

0

Outbound clicks

0

Citations

Views over time

Views by country

Approximate, from request IP at view time — not citizenship or institution. Countries with fewer than 5 views are grouped as "Other".

Traffic sources

Referring site, by host.

Views and downloads exclude known bots/crawlers. Citations combines this platform's own DOI-resolved index with each external source's own reported total — see Cited by above for individually listed citing works. Last refreshed 0 seconds ago.