Strong convergence of some drift implicit Eu - ler scheme
نویسنده
چکیده
We study the convergence of a drift implicit scheme for one-dimensional SDEs that was considered by Alfonsi [1] for the Cox-Ingersoll-Ross (CIR) process. Under general conditions, we obtain a strong convergence of order 1. In the CIR case, Dereich, Neuenkirch and Szpruch [2] 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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تاریخ انتشار 2012