{"id":"https://openalex.org/W4231653096","doi":"https://doi.org/10.1109/wsc.2014.7019912","title":"Change of measure for the square-root process","display_name":"Change of measure for the square-root process","publication_year":2014,"publication_date":"2014-12-01","ids":{"openalex":"https://openalex.org/W4231653096","doi":"https://doi.org/10.1109/wsc.2014.7019912"},"language":"en","primary_location":{"id":"doi:10.1109/wsc.2014.7019912","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2014.7019912","pdf_url":null,"source":{"id":"https://openalex.org/S4363608779","display_name":"Proceedings of the Winter Simulation Conference 2014","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the Winter Simulation Conference 2014","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5016519626","display_name":"Daniel Dufresne","orcid":"https://orcid.org/0000-0001-6990-0590"},"institutions":[{"id":"https://openalex.org/I165779595","display_name":"University of Melbourne","ror":"https://ror.org/01ej9dk98","country_code":"AU","type":"education","lineage":["https://openalex.org/I165779595"]}],"countries":["AU"],"is_corresponding":true,"raw_author_name":"Daniel Dufresne","raw_affiliation_strings":["Centre for Actuarial Studies, University of Melbourne, Carlton, VIC, AUSTRALIA"],"affiliations":[{"raw_affiliation_string":"Centre for Actuarial Studies, University of Melbourne, Carlton, VIC, AUSTRALIA","institution_ids":["https://openalex.org/I165779595"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5029543403","display_name":"Felisa J. V\u00e1zquez-Abad","orcid":null},"institutions":[{"id":"https://openalex.org/I39694355","display_name":"Hunter College","ror":"https://ror.org/00g2xk477","country_code":"US","type":"education","lineage":["https://openalex.org/I39694355"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Felisa Vazquez-Abad","raw_affiliation_strings":["Department of Computer Science, Hunter College CUNY, New York, NY, USA"],"affiliations":[{"raw_affiliation_string":"Department of Computer Science, Hunter College CUNY, New York, NY, USA","institution_ids":["https://openalex.org/I39694355"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5109491894","display_name":"Stephen Chin","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Stephen Chin","raw_affiliation_strings":["Ingensoma Arbitrage Ltd., Seoul, KOREA"],"affiliations":[{"raw_affiliation_string":"Ingensoma Arbitrage Ltd., Seoul, KOREA","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5016519626"],"corresponding_institution_ids":["https://openalex.org/I165779595"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.73758865,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"11","issue":null,"first_page":"465","last_page":"475"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9948999881744385,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11152","display_name":"Stochastic processes and statistical mechanics","score":0.9865000247955322,"subfield":{"id":"https://openalex.org/subfields/2610","display_name":"Mathematical Physics"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/square-root","display_name":"Square root","score":0.7802621126174927},{"id":"https://openalex.org/keywords/bessel-process","display_name":"Bessel process","score":0.7207605838775635},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.6094626188278198},{"id":"https://openalex.org/keywords/stochastic-process","display_name":"Stochastic process","score":0.5438192486763},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5141904354095459},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5120070576667786},{"id":"https://openalex.org/keywords/process","display_name":"Process (computing)","score":0.5060245394706726},{"id":"https://openalex.org/keywords/root","display_name":"Root (linguistics)","score":0.43704599142074585},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.4363973140716553},{"id":"https://openalex.org/keywords/dimension","display_name":"Dimension (graph theory)","score":0.43584853410720825},{"id":"https://openalex.org/keywords/quadratic-equation","display_name":"Quadratic equation","score":0.42539098858833313},{"id":"https://openalex.org/keywords/exponential-function","display_name":"Exponential function","score":0.42217403650283813},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3665773272514343},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.35721927881240845},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.24663984775543213},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.21226155757904053},{"id":"https://openalex.org/keywords/orthogonal-polynomials","display_name":"Orthogonal polynomials","score":0.11952477693557739},{"id":"https://openalex.org/keywords/combinatorics","display_name":"Combinatorics","score":0.09120544791221619}],"concepts":[{"id":"https://openalex.org/C11577676","wikidata":"https://www.wikidata.org/wiki/Q134237","display_name":"Square root","level":2,"score":0.7802621126174927},{"id":"https://openalex.org/C118532472","wikidata":"https://www.wikidata.org/wiki/Q4896405","display_name":"Bessel process","level":5,"score":0.7207605838775635},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.6094626188278198},{"id":"https://openalex.org/C8272713","wikidata":"https://www.wikidata.org/wiki/Q176737","display_name":"Stochastic process","level":2,"score":0.5438192486763},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5141904354095459},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5120070576667786},{"id":"https://openalex.org/C98045186","wikidata":"https://www.wikidata.org/wiki/Q205663","display_name":"Process (computing)","level":2,"score":0.5060245394706726},{"id":"https://openalex.org/C171078966","wikidata":"https://www.wikidata.org/wiki/Q111029","display_name":"Root (linguistics)","level":2,"score":0.43704599142074585},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.4363973140716553},{"id":"https://openalex.org/C33676613","wikidata":"https://www.wikidata.org/wiki/Q13415176","display_name":"Dimension (graph theory)","level":2,"score":0.43584853410720825},{"id":"https://openalex.org/C129844170","wikidata":"https://www.wikidata.org/wiki/Q41299","display_name":"Quadratic equation","level":2,"score":0.42539098858833313},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.42217403650283813},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3665773272514343},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.35721927881240845},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.24663984775543213},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.21226155757904053},{"id":"https://openalex.org/C10628310","wikidata":"https://www.wikidata.org/wiki/Q619458","display_name":"Orthogonal polynomials","level":2,"score":0.11952477693557739},{"id":"https://openalex.org/C114614502","wikidata":"https://www.wikidata.org/wiki/Q76592","display_name":"Combinatorics","level":1,"score":0.09120544791221619},{"id":"https://openalex.org/C77088390","wikidata":"https://www.wikidata.org/wiki/Q8513","display_name":"Database","level":1,"score":0.0},{"id":"https://openalex.org/C21736991","wikidata":"https://www.wikidata.org/wiki/Q17006917","display_name":"Classical orthogonal polynomials","level":3,"score":0.0},{"id":"https://openalex.org/C111919701","wikidata":"https://www.wikidata.org/wiki/Q9135","display_name":"Operating system","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0},{"id":"https://openalex.org/C41895202","wikidata":"https://www.wikidata.org/wiki/Q8162","display_name":"Linguistics","level":1,"score":0.0},{"id":"https://openalex.org/C78540521","wikidata":"https://www.wikidata.org/wiki/Q1498246","display_name":"Gegenbauer polynomials","level":4,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/wsc.2014.7019912","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2014.7019912","pdf_url":null,"source":{"id":"https://openalex.org/S4363608779","display_name":"Proceedings of the Winter Simulation Conference 2014","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"conference"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the Winter Simulation Conference 2014","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320309102","display_name":"City University of New York","ror":"https://ror.org/00453a208"},{"id":"https://openalex.org/F4320334704","display_name":"Australian Research Council","ror":"https://ror.org/05mmh0f86"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":20,"referenced_works":["https://openalex.org/W41971894","https://openalex.org/W1545370368","https://openalex.org/W2004330626","https://openalex.org/W2040646026","https://openalex.org/W2057864604","https://openalex.org/W2064978316","https://openalex.org/W2078886489","https://openalex.org/W2125179223","https://openalex.org/W2163191305","https://openalex.org/W2166536772","https://openalex.org/W2167455546","https://openalex.org/W2170589820","https://openalex.org/W2329986772","https://openalex.org/W2465624924","https://openalex.org/W3021444882","https://openalex.org/W3121174621","https://openalex.org/W3122025015","https://openalex.org/W3123321876","https://openalex.org/W3125684429","https://openalex.org/W6601690975"],"related_works":["https://openalex.org/W2217961521","https://openalex.org/W2001134355","https://openalex.org/W1595735471","https://openalex.org/W3120038327","https://openalex.org/W1561772133","https://openalex.org/W113971542","https://openalex.org/W3029623871","https://openalex.org/W933873750","https://openalex.org/W2200340134","https://openalex.org/W4308789280"],"abstract_inverted_index":{"The":[0,14,97,131],"square-root":[1,72,90],"process":[2,20,91],"is":[3,82,113,121,141],"used":[4,83],"to":[5,57,63,80,84],"model":[6],"interest":[7],"rates":[8],"and":[9,103],"volatility":[10],"in":[11],"financial":[12],"mathematics.":[13],"pricing":[15],"of":[16,39,88,95,143],"derivatives":[17],"involving":[18],"that":[19],"often":[21,28],"requires":[22,127],"simulating":[23],"it,":[24],"since":[25],"there":[26],"are":[27],"no":[29],"explicit":[30],"formulas":[31],"for":[32],"prices.":[33],"We":[34,46,145],"study":[35],"how":[36],"a":[37,93,136],"change":[38,94],"measure":[40],"(CM)":[41],"may":[42],"improve":[43],"those":[44],"simulations.":[45],"compare":[47],"with":[48],"Andersen's":[49],"quadratic-exponential":[50],"scheme":[51],"(QE),":[52],"which":[53,140],"so":[54],"far":[55],"appears":[56],"be":[58],"the":[59,65,71,86,89,104],"most":[60],"efficient":[61],"technique":[62],"simulate":[64],"stochastic":[66],"differential":[67],"equation":[68],"satisfied":[69],"by":[70],"process.":[73],"An":[74],"integer-dimension":[75],"squared":[76],"Bessel":[77],"process,":[78],"easy":[79],"simulate,":[81],"generate":[85],"law":[87],"using":[92],"measure.":[96],"new":[98],"method":[99],"performs":[100],"very":[101],"well,":[102],"two":[105],"algorithms":[106],"execute":[107],"at":[108],"similar":[109],"speeds;":[110],"however,":[111],"CM":[112,126],"slower":[114],"than":[115],"QE":[116],"if":[117],"random":[118,129],"number":[119],"generation":[120],"taken":[122],"into":[123],"account,":[124],"because":[125],"more":[128],"numbers.":[130],"Radon-Nikodym":[132],"derivative":[133],"sometimes":[134],"has":[135],"rather":[137],"intriguing":[138],"behavior,":[139],"itself":[142],"interest.":[144],"propose":[146],"an":[147],"explanation.":[148]},"counts_by_year":[],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}