Optimal strong approximation of the one-dimensional squared Bessel process

DOI10.4310/CMS.2017.V15.N8.A2zbMATH Open1453.65018arXiv1601.01455OpenAlexW2964129611MaRDI QIDQ1709650FDOQ1709650

Authors: Mario Hefter, André Herzwurm 

Publication date: 6 April 2018

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Abstract: We consider the one-dimensional squared Bessel process given by the stochastic differential equation (SDE) �egin{align*} dX_t = 1,dt + 2sqrt{X_t},dW_t, quad X_0=x_0, quad tin[0,1], end{align*} and study strong (pathwise) approximation of the solution $X$ at the final time point $t=1$. This SDE is a particular instance of a Cox-Ingersoll-Ross (CIR) process where the boundary point zero is accessible. We consider numerical methods that have access to values of the driving Brownian motion $W$ at a finite number of time points. We show that the polynomial convergence rate of the $n$-th minimal errors for the class of adaptive algorithms as well as for the class of algorithms that rely on equidistant grids are equal to infinity and $1/2$, respectively. This shows that adaption results in a tremendously improved convergence rate. As a by-product, we obtain that the parameters appearing in the CIR process affect the convergence rate of strong approximation.

Full work available at URL: https://arxiv.org/abs/1601.01455

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zbMATH Keywords

strong approximationreflected Brownian motionadaptive algorithmCox-Ingersoll-Ross process\(n\)-th minimal error

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cited In (11)

• A note on strong approximation of SDEs with smooth coefficients that have at most linearly growing derivatives
• Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range
• On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes
• Mean-reverting schemes for solving the CIR model
• On the complexity of strong approximation of stochastic differential equations with a non-Lipschitz drift coefficient
• An adaptive strong order 1 method for SDEs with discontinuous drift coefficient
• Strong approximation of a Cox-Ingersoll-Ross process via approximation of the minimum of Brownian motion
• Strong approximation of Bessel processes
• Adaptive quantile computation for Brownian bridge in change-point analysis
• Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients
• The logarithmic truncated EM method with weaker conditions

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