Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process
Author:
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference8 articles.
1. On the discretization schemes for the CIR (and Bessel squared) processes;Alfonsi;Monte Carlo Methods and Applications,2005
2. Euler scheme for SDEs with non-Lipschitz diffusion coefficient: strong convergence;Berkaoui;ESAIM, Probability and Statistics,2008
3. An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process;Dereich;Proceedings of The Royal Society A,2012
4. Asymptotic properties of Monte Carlo estimators of diffusion processes;Detemple;Journal of Econometrics,2006
5. Strong convergence of Euler-type methods for nonlinear stochastic differential equations;Higham;SIAM Journal on Numerical Analysis,2002
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