Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range

DOI10.1016/j.jmaa.2017.10.076zbMath1388.60117arXiv1608.00410OpenAlexW2963040848MaRDI QIDQ1684814

André Herzwurm, Mario Hefter

Publication date: 12 December 2017

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.00410

zbMATH Keywords

strong approximationCox-Ingersoll-Ross processsquared Bessel processMilstein-type schemesquare root diffusion coefficient

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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