An Efficient and Fast Algorithm for Simulations of Mean-Reverting Square-root Diffusions.

An efficient and fast algorithm, which is based on the splitting-step idea, for simulations of mean-reverting square-root diffusions is presented in this paper. The local path wise error of this algorithm is considered, and an estimate of local error in the 2nd moment is proved. A series of numerical experiments based on MATLAB programs is given to compare the suggested algorithm with the present schemes: the BIM scheme and the BMM scheme. [ABSTRACT FROM AUTHOR]