Strong order one convergence of a drift implicit Euler scheme: application to the CIR process (Q1950672)
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Strong order one convergence of a drift implicit Euler scheme: application to the CIR process (English)
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13 May 2013
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This paper considers the strong convergence of a drift implicit Euler method applied to the scalar Cox-Ingersoll-Ross problem. This is done through an Itô transformation via a square root process which converts the problem to an additive noise one. Strong convergence of order one is obtained under certain restrictions on the model parameters.
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drift implicit Euler scheme
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Cox-Ingersoll-Ross model
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strong error
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Lamperti transformation
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0.8402808308601379
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0.8282949924468994
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0.7878178954124451
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0.7787437438964844
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