 |
|
| HAL: hal-00709202, version 1 |
| arXiv: 1206.3855 |
| Detailed view |  Export this paper |
 |
|
|
| Strong convergence of some drift implicit Euler scheme. Application to the CIR process. |
|
|
| Aurélien Alfonsi 1 |
|
|
| (2012-06-18) |
|
|
|
| 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. |
|
|
|
|
|
|
|
|
|
|
|
| 1: | Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique (CERMICS) |
|
|
|
Ecole des Ponts ParisTech |
|
|
|
|
|
|
|
|
|
| Subject | : | Mathematics/Probability |
|
|
| Discretization scheme – Cox-Ingersoll-Ross model – Strong error – Lamperti transformation. |
|
|
|
| Attached file list to this document: | ||||||||||
|
||||||||||
|
|
|
| hal-00709202, version 1 | |
| http://hal-enpc.archives-ouvertes.fr/hal-00709202 | |
| oai:hal-enpc.archives-ouvertes.fr:hal-00709202 | |
| From: Alfonsi Aurélien | |
| Submitted on: Monday, 18 June 2012 10:54:21 | |
| Updated on: Monday, 18 June 2012 11:00:07 | |
