The Euler-Maruyama approximation for the absorption time of the CEV diffusion

DOI10.3934/dcdsb.2012.17.1455zbMath1248.60061arXiv1108.0307OpenAlexW1996226852WikidataQ57712753 ScholiaQ57712753MaRDI QIDQ432579

Fima C. Klebaner, Pavel Chigansky

Publication date: 4 July 2012

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.0307

zbMATH Keywords

diffusionweak convergenceCEV modelEuler-Maruyama schemeabsorption times

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Functional limit theorems; invariance principles (60F17)

Related Items (1)

Approximating exit times of continuous Markov processes

This page was built for publication: The Euler-Maruyama approximation for the absorption time of the CEV diffusion