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Revisiting Feller Diffusion: Derivation and Simulation

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Listed:
  • Ranjiva Munasinghe
  • Leslie Kanthan
  • Pathum Kossinna

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.

Suggested Citation

  • Ranjiva Munasinghe & Leslie Kanthan & Pathum Kossinna, 2019. "Revisiting Feller Diffusion: Derivation and Simulation," Papers 1905.10737, arXiv.org, revised Jun 2019.
    • Handle: RePEc:arx:papers:1905.10737
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    File URL: http://arxiv.org/pdf/1905.10737
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