Publication: Revisiting Feller Diffusion: Derivation and Simulation
Type:
Article
Date
2019-07-13
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Abstract
We propose a simpler derivation of the probability density function of Feller
Diffusion using the Fourier Transform and solving the resulting equation via the
Method of Characteristics. We also discuss simulation algorithms and confirm key
properties related to hitting time probabilities via the simulation
Description
Keywords
Feller Diffusion, Bessel Squared Process of Dimension Zero, Zero Degrees of Freedom, Square Root Diffusion, Simulation, Method of Characteristics, Absorbing Random Walks, Survival Probability, Hitting Time, First Passage Time