Strong order one convergence of a drift implicit Euler scheme: application to the CIR process

DOI10.1016/J.SPL.2012.10.034MaRDI QIDQ1950672zbMATH OpenOpenAlexFDO

Authors Aurélien Alfonsi

Publication date 13 May 2013

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1206.3855, https://hal-enpc.archives-ouvertes.fr/hal-00709202/file/drift_implicit.pdf

zbMATH Keywords

strong errorCox-Ingersoll-Ross modelLamperti transformationdrift implicit Euler scheme

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Abstract: We study the convergence of a drift implicit scheme for one-dimensional SDEs that was considered by Alfonsi for the Cox-Ingersoll-Ross (CIR) process. Under general conditions, we obtain a strong convergence of order 1. In the CIR case, Dereich, Neuenkirch and Szpruch have shown recently a strong convergence of order 1/2 for this scheme. Here, we obtain a strong convergence of order 1 under more restrictive assumptions on the CIR parameters.

Recommendations

• Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process
• An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
• On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes
• Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range
• Strong convergence of an explicit numerical method for SDEs with nonglobally Lipschitz continuous coefficients

Cited in

(56)

• An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process
• The modified truncated Euler-Maruyama method for stochastic differential equations with concave diffusion coefficients
• Semi-implicit Euler-Maruyama scheme for polynomial diffusions on the unit ball
• Semi-implicit Euler-Maruyama approximation for noncolliding particle systems
• Speeding up the Euler scheme for killed diffusions
• 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
• On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case
• The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model
• Numerical simulation of statistical behavior for fractional Cox-Ingersoll-Ross process
• Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models
• On a perturbation theory and on strong convergence rates for stochastic ordinary and partial differential equations with nonglobally monotone coefficients
• On sub-polynomial lower error bounds for quadrature of SDEs with bounded smooth coefficients
• The Euler scheme for stochastic differential equations with discontinuous drift coefficient: a numerical study of the convergence rate
• Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion
• Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises
• An explicit Euler scheme with strong rate of convergence for financial SDEs with non-Lipschitz coefficients
• Construction of a third-order K-scheme and its application to financial models
• Deterministic and stochastic nutrient-phytoplankton-zooplankton models with periodic toxin producing phytoplankton
• Strong convergence rate of implicit Euler scheme to a CIR model with delay
• On non-polynomial lower error bounds for adaptive strong approximation of SDEs
• First order strong convergence of an explicit scheme for the stochastic SIS epidemic model
• Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process
• Mean-reverting schemes for solving the CIR model
• Invariant measure of the backward Euler method for stochastic differential equations driven by α$$ \alpha $$‐stable process
• Environmental variability and mean-reverting processes
• An unconditional boundary and dynamics preserving scheme for the stochastic epidemic model
• On the complexity of strong approximation of stochastic differential equations with a non-Lipschitz drift coefficient
• Verhulst versus CIR
• Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition
• High Order Splitting Methods for SDEs Satisfying a Commutativity Condition
• Mean-square convergence rates of implicit Milstein type methods for SDEs with non-Lipschitz coefficients
• The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion
• A stochastic modified Beverton-Holt model with the Allee effect
• Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift
• Convergence of an Euler scheme for a hybrid stochastic-local volatility model with stochastic rates in foreign exchange markets
• Strong convergence and asymptotic stability of explicit numerical schemes for nonlinear stochastic differential equations
• Log-normal stochastic volatility model with quadratic drift
• An explicit and positivity preserving numerical scheme for the mean reverting CEV model
• Strong convergence and stationary distribution of an explicit scheme for the Wright-Fisher model
• An adaptive splitting method for the Cox-Ingersoll-Ross process
• First order strong approximations of scalar SDEs defined in a domain
• Boundary-preserving Lamperti-splitting schemes for some stochastic differential equations
• Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process
• A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models
• Constructive Quantization and Multilevel Algorithms for Quadrature of Stochastic Differential Equations
• MFO-RIMS tandem workshop: Nonlocality in analysis, probability and statistics. Abstracts from the MFO-RIMS tandem workshop held March 20--26, 2022
• Lower error bounds for strong approximation of scalar SDEs with non-Lipschitzian coefficients
• Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes
• Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations
• Harnack and super Poincaré inequalities for generalized Cox-Ingersoll-Ross model
• Approximating explicitly the mean-reverting CEV process
• The logarithmic truncated EM method with weaker conditions
• A higher order positivity preserving scheme for the strong approximations of a stochastic epidemic model
• Tamed Euler-Maruyama approximation for stochastic differential equations with locally Hölder continuous diffusion coefficients

This page was built for publication: Strong order one convergence of a drift implicit Euler scheme: application to the CIR process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1950672)