An Euler-type method for the strong approximation of the Cox – Ingersoll – Ross process

@inproceedings{Dereich2011AnEM,
  title={An Euler-type method for the strong approximation of the Cox – Ingersoll – Ross process},
  author={Steffen Dereich and Andreas Neuenkirch},
  year={2011}
}
We analyse the strong approximation of the Cox–Ingersoll–Ross (CIR) process in the regime where the process does not hit zero by a positivity preserving drift-implicit Eulertype method. As an error criterion, we use the pth mean of the maximum distance between the CIR process and its approximation on a finite time interval. We show that under mild assumptions on the parameters of the CIR process, the proposed method attains, up to a logarithmic term, the convergence of order 1/2. This agrees… CONTINUE READING

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