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/v33i130169Abstract
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.
Cited by 0
No indexed citations yet.
Related research
- Probabilistic and Economical Design of Roof Top Rainwater Harvesting Tank by Simulation Technique — shares topic coverage
- Soil Water and Nitrogen Balance Study of Maize Using CERES Maize Model in DSSAT — shares topic coverage
- Flood Vulnerability Assessment of Settlements in the Niger-benue Trough, Central Nigeria — shares topic coverage
- Spatial Relationship Perception is Not Affected by Short-term Cortical Reorganization — shares topic coverage
- Subbasins Flood Risk Simulations Using 3D and Swat in the River Catchment of Terengganu — shares topic coverage
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.