Strong convergence of some drift implicit Euler scheme. Application to the CIR process. - École des Ponts ParisTech Access content directly
Journal Articles Statistics and Probability Letters Year : 2013

Strong convergence of some drift implicit Euler scheme. Application to the CIR process.

Abstract

We study the convergence of a drift implicit scheme for one-dimensional SDEs that was considered by Alfonsi for the Cox-Ingersoll-Ross (CIR) process. Under general conditions, we obtain a strong convergence of order 1. In the CIR case, Dereich, Neuenkirch and Szpruch 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.
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Dates and versions

hal-00709202 , version 1 (18-06-2012)

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Aurélien Alfonsi. Strong convergence of some drift implicit Euler scheme. Application to the CIR process.. Statistics and Probability Letters, 2013, 83 (2), pp.602-607. ⟨10.1016/j.spl.2012.10.034⟩. ⟨hal-00709202⟩
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