Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises

DOI10.1007/S11075-022-01424-6MaRDI QIDQ6157440zbMATH OpenOpenAlexFDO

Authors Giulia Di Nunno, Yuliya S. Mishura, Anton Yurchenko-Tytarenko

Publication date 11 May 2023

Published in Numerical Algorithms (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2204.08827

zbMATH Keywords

numerical schemeunbounded driftHölder continuous noisesandwiched process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) 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) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Abstract: In this paper, we analyze the drift-implicit (or backward) Euler numerical scheme for a class of stochastic differential equations with unbounded drift driven by an arbitrary $lambda$-H"older continuous process, $lambdain(0,1)$. We prove that, under some mild moment assumptions on the H"older constant of the noise, the $L^r(Omega;L^{i}nfty([0,T]))$-rate of convergence is equal to $lambda$. To exemplify, we consider numerical schemes for the generalized Cox--Ingersoll-Ross and Tsallis--Stariolo--Borland models. The results are illustrated by simulations.

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Cited in

(4)

• Numerical method for singular drift stochastic differential equation driven by fractional Brownian motion
• Sandwiched SDEs with unbounded drift driven by Hölder noises
• Option pricing in sandwiched Volterra volatility model
• Sandwiched Volterra volatility model: Markovian approximations and hedging

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