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| HAL : hal-00709202, version 1 |
| arXiv : 1206.3855 |
| Fiche détaillée |  Récupérer au format |
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| Strong convergence of some drift implicit Euler scheme. Application to the CIR process. |
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| Aurélien Alfonsi 1 |
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| (18/06/2012) |
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| 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. |
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| 1 : | Centre d'Enseignement et de Recherche en Mathématiques et Calcul Scientifique (CERMICS) |
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Ecole des Ponts ParisTech |
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| Domaine | : | Mathématiques/Probabilités |
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| Discretization scheme – Cox-Ingersoll-Ross model – Strong error – Lamperti transformation. |
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| Liste des fichiers attachés à ce document : | ||||||||||
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| hal-00709202, version 1 | |
| http://hal-enpc.archives-ouvertes.fr/hal-00709202 | |
| oai:hal-enpc.archives-ouvertes.fr:hal-00709202 | |
| Contributeur : Alfonsi Aurélien | |
| Soumis le : Lundi 18 Juin 2012, 10:54:21 | |
| Dernière modification le : Lundi 18 Juin 2012, 11:00:07 | |
