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Mehler-Heine asymptotics of a class of generalized hypergeometric polynomials
(Oberwolfach : Mathematisches Forschungsinstitut Oberwolfach, 2013) Bracciali, Cleonice F.; Moreno-Balcázar, Juan José
We obtain a Mehler–Heine type formula for a class of generalized hypergeometric polynomials. This type of formula describes the asymptotics of polynomials scale conveniently. As a consequence of this formula, we obtain the asymptotic behavior of the corresponding zeros. We illustrate these results with numerical experiments and some figures.
Uniform approximation of the CIR process via exact simulation at random times
(Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2015) Milstein, Grigori N.; Schoenmakers, John G.M.
In this paper we uniformly approximate the trajectories of the Cox-Ingersoll-Ross (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.