Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion

DOI10.1016/j.spa.2019.07.014zbMath1451.60076arXiv1809.04398OpenAlexW2890750196WikidataQ127408785 ScholiaQ127408785MaRDI QIDQ2309581

Minoo Kamrani, Jialin Hong, Chuying Huang, Xu Wang

Publication date: 1 April 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.04398

zbMATH Keywords

fractional Brownian motionMalliavin calculusCox-Ingersoll-Ross modelbackward Euler schemeoptimal strong convergence rate

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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