The Euler-Maruyama approximation for the absorption time of the CEV diffusion

DOI10.3934/DCDSB.2012.17.1455zbMATH Open1248.60061arXiv1108.0307OpenAlexW1996226852WikidataQ57712753 ScholiaQ57712753MaRDI QIDQ432579FDOQ432579

Authors: Pavel Chigansky, Fima Klebaner 

Publication date: 4 July 2012

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Abstract: A standard convergence analysis of the simulation schemes for the hitting times of diffusions typically requires non-degeneracy of their coefficients on the boundary, which excludes the possibility of absorption. In this paper we consider the CEV diffusion from the mathematical finance and show how a weakly consistent approximation for the absorption time can be constructed, using the Euler-Maruyama scheme.

Full work available at URL: https://arxiv.org/abs/1108.0307

Recommendations

• The Euler-Maruyama approximations for the CEV model
• Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps
• Approximating exit times of continuous Markov processes
• Rate of Convergence of the Euler Approximation for Diffusion Processes
• Exact convergence rate of the Euler-Maruyama scheme, with application to sampling design

zbMATH Keywords

weak convergencediffusionCEV modelEuler-Maruyama schemeabsorption times

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cited In (2)

• The Euler-Maruyama approximations for the CEV model
• Approximating exit times of continuous Markov processes

This page was built for publication: The Euler-Maruyama approximation for the absorption time of the CEV diffusion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q432579)