Strong order 1/2 convergence of full truncation Euler approximations to the Cox–Ingersoll–Ross process

DOI10.1093/imanum/dry067zbMath1461.91326arXiv1704.07321OpenAlexW2962717772WikidataQ129065711 ScholiaQ129065711MaRDI QIDQ5857310

Andrei Cozma, Christoph Reisinger

Publication date: 31 March 2021

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.07321

zbMATH Keywords

Cox-Ingersoll-Ross processstrong convergence orderexplicit full truncation Euler scheme

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (11)

The role of adaptivity in a numerical method for the Cox-Ingersoll-Ross model ⋮ The truncated Euler-Maruyama method for CIR model driven by fractional Brownian motion ⋮ An adaptive splitting method for the Cox-Ingersoll-Ross process ⋮ The modified truncated Euler-Maruyama method for stochastic differential equations with concave diffusion coefficients ⋮ Multilevel Monte Carlo using approximate distributions of the CIR process ⋮ Strong convergence rate of implicit Euler scheme to a CIR model with delay ⋮ High Order Splitting Methods for SDEs Satisfying a Commutativity Condition ⋮ On arbitrarily slow convergence rates for strong numerical approximations of Cox-Ingersoll-Ross processes and squared Bessel processes ⋮ An adaptive Euler-Maruyama scheme for Mckean-Vlasov SDEs with super-linear growth and application to the mean-field Fitzhugh-Nagumo model ⋮ Positivity preserving logarithmic Euler-Maruyama type scheme for stochastic differential equations ⋮ Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions

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