Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises

DOI10.1007/s11075-022-01424-6zbMath1522.65011arXiv2204.08827OpenAlexW4307648932MaRDI QIDQ6157440

Yuliya S. Mishura, Giulia Di Nunno, Anton Yurchenko-Tytarenko

Publication date: 11 May 2023

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2204.08827

zbMATH Keywords

numerical schemeunbounded driftHölder continuous noisesandwiched process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

• Strong and weak approximation of semilinear stochastic evolution equations
• Necessary and sufficient conditions for Hölder continuity of Gaussian processes
• A singular stochastic differential equation driven by fractional Brownian motion
• Roughness and finite size effect in the NYSE stock-price fluctuations
• Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation
• Bounded noises in physics, biology, and engineering
• Strong order one convergence of a drift implicit Euler scheme: application to the CIR process
• Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion
• Moment explosions in stochastic volatility models
• A Theory of the Term Structure of Interest Rates
• On the discretization schemes for the CIR (and Bessel squared) processes
• An Intertemporal General Equilibrium Model of Asset Prices
• Pricing under rough volatility
• Properties of bounded stochastic processes employed in biophysics
• An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process

This page was built for publication: Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises