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Processes of Wright-Fisher Type

  • Aurélien Alfonsi
Chapter
Part of the Bocconi & Springer Series book series (BS, volume 6)

Abstract

The main focus of this book is on affine diffusions and their simulation. In this chapter, we go slightly beyond this scope in the sense that the processes that we consider are not affine. They however have a clear connection with affine processes and belong to the class of Polynomial processes introduced by Cuchiero et al. [34] that also includes Affine diffusions. We first present Wright-Fisher processes that are well known in biology to model the frequency of a gene. These processes are directly related to Cox-Ingersoll-Ross diffusions, and we explain how it is possible to get second order schemes for these processes by reusing the second order schemes that we have developed for the CIR diffusion.

Keywords

Correlation Matrice Jacobi Polynomial Order Scheme Infinitesimal Generator Martingale Problem 
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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  • Aurélien Alfonsi
    • 1
  1. 1.CERMICSEcole Nationale des Ponts et ChausséesChamps-sur-MarneFrance

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