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,"
Journal of Econometrics,
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- 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.
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