arXiv Open Access 2018

Strong convergence of a positive preserving drift-implicit Euler scheme for the fixed delay CIR process

Federico Flore Giovanna Nappo

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Abstrak

In this paper, we consider a fixed delay Cox-Ingersoll-Ross process (CIR process) on the regime where it does not hit zero, the aim is to determine a positive preserving implicit Euler Scheme. On a time grid with constant stepsize our scheme extends the scheme proposed by Alfonsi in 2005 for the classical CIR model. Furthermore, we consider its piecewise linear interpolation, and, under suitable conditions, we establish the order of strong convergence in the uniform norm, thus extending the results of Dereich et al. in 2011.

Topik & Kata Kunci

math.PR

Penulis (2)

Federico Flore

Giovanna Nappo

Format Sitasi

APA MLA BibTeX

Flore, F., Nappo, G. (2018). Strong convergence of a positive preserving drift-implicit Euler scheme for the fixed delay CIR process. https://arxiv.org/abs/1807.06474

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Informasi Jurnal

Tahun Terbit: 2018
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓