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.
Volume (Year): 83 (2013)
Issue (Month): 2 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Detemple, Jerome & Garcia, Rene & Rindisbacher, Marcel, 2006.
"Asymptotic properties of Monte Carlo estimators of diffusion processes,"
Journal of Econometrics,
Elsevier, vol. 134(1), pages 1-68, September.
- Jérôme B. Detemple & René Garcia & Marcel Rindisbacher, 2003. "Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes," CIRANO Working Papers 2003s-11, CIRANO.
- Marcel Rindisbacher & Jérôme Detemple & René Garcia, 2004. "Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes," Econometric Society 2004 North American Winter Meetings 483, Econometric Society.
- Alfonsi Aurélien, 2005. "On the discretization schemes for the CIR (and Bessel squared) processes," Monte Carlo Methods and Applications, De Gruyter, vol. 11(4), pages 355-384, December. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:83:y:2013:i:2:p:602-607. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.