Exponential integrability properties of Euler discretization schemes for the Cox-Ingersoll-Ross process

DOI10.3934/dcdsb.2016101zbMath1354.60078arXiv1601.00919OpenAlexW2962875438MaRDI QIDQ727912

Christoph Reisinger, Andrei Cozma

Publication date: 21 December 2016

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

Full work available at URL: https://arxiv.org/abs/1601.00919

zbMATH Keywords

stochastic differential equationsexponential integrabilitystochastic volatility modelCox-Ingersoll-Ross processEuler schemes

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (6)

Strong Convergence Rates for Euler Approximations to a Class of Stochastic Path-Dependent Volatility Models ⋮ Two methods of estimation of the drift parameters of the Cox–Ingersoll–Ross process: Continuous observations ⋮ Sharp convex generalizations of stochastic Gronwall inequalities ⋮ On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes ⋮ An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model ⋮ Exponential moments for numerical approximations of stochastic partial differential equations

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