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

DOI10.1007/S11075-022-01424-6zbMATH Open1522.65011arXiv2204.08827OpenAlexW4307648932MaRDI QIDQ6157440FDOQ6157440

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

Publication date: 11 May 2023

Published in: Numerical Algorithms (Search for Journal in Brave)

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.

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

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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)

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Cited In (2)

• Numerical method for singular drift stochastic differential equation driven by fractional Brownian motion
• Option pricing in sandwiched Volterra volatility model

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