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