Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process
We study the convergence of a drift implicit scheme for one-dimensional SDEs that was considered by Alfonsi (2005) for the Cox–Ingersoll–Ross (CIR) process. Under general conditions, we obtain a strong convergence of order 1. In the CIR case, Dereich et al. (2012) 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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Volume (Year): 83 (2013)
Issue (Month): 2 ()
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- Detemple, Jerome & Garcia, Rene & Rindisbacher, Marcel, 2006.
"Asymptotic properties of Monte Carlo estimators of diffusion processes,"
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- Jérôme B. Detemple & René Garcia & Marcel Rindisbacher, 2003. "Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes," CIRANO Working Papers 2003s-11, CIRANO.
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