The Euler-Maruyama approximation for the absorption time of the CEV diffusion

@inproceedings{Chigansky2011TheEA,
  title={The Euler-Maruyama approximation for the absorption time of the CEV diffusion},
  author={P. Chigansky and Fima C. Klebaner},
  year={2011}
}
A standard convergence analysis of the simulation schemes for the hitting times of diffusions typically requires non-degeneracy of their coefficients on the boundary, which excludes the possibility of absorption. In this paper we consider the CEV diffusion from the mathematical finance and show how a weakly consistent approximation for the absorption time can be constructed, using the Euler-Maruyama scheme.