Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process

We study the convergence of a drift implicit scheme for one-dimensional SDEs that was considered by Alfonsi (2005) for the Cox–Ingersoll–Ross (CIR) process. Under general conditions, we obtain a strong convergence of order 1. In the CIR case, Dereich et al. (2012) 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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Year of publication:	2013
Authors:	Alfonsi, Aurélien
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 2, p. 602-607
Publisher:	Elsevier
Subject:	Drift implicit Euler scheme \| Cox–Ingersoll–Ross model \| Strong error \| Lamperti transformation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011040135