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

DOI10.1016/J.SPL.2012.10.034zbMATH Open1273.65007arXiv1206.3855OpenAlexW2591788282MaRDI QIDQ1950672FDOQ1950672

Authors: Aurélien Alfonsi 

Publication date: 13 May 2013

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

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.

Full work available at URL: https://arxiv.org/abs/1206.3855

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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)

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