Revisiting Feller Diffusion: Derivation and Simulation

Ranjiva Munasinghe, Leslie Kanthan and Pathum Kossinna

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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.

Date: 2019-05, Revised 2019-06
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1905.10737

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