The euler-maruyama approximation for the Absorption time of the cev diffusion

Pavel Chigansky; Fima C. Klebaner

doi:10.3934/dcdsb.2012.17.1455

The euler-maruyama approximation for the Absorption time of the cev diffusion

Pavel Chigansky, Fima C. Klebaner

Department of Statistics

The Hebrew University of Jerusalem

Research output: Contribution to journal › Article › peer-review

Abstract

The standard convergence analysis of the simulation schemes for the hitting times of diffusions typically requires non-degeneracy of their coeficients 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.

Original language	English
Pages (from-to)	1455-1471
Number of pages	17
Journal	Discrete and Continuous Dynamical Systems - Series B
Volume	17
Issue number	5
DOIs	https://doi.org/10.3934/dcdsb.2012.17.1455
State	Published - Jul 2012

Keywords

Absorption times
CEV model
Diffusion
Euler-Maruyama scheme
Weak convergence

All Science Journal Classification (ASJC) codes

Discrete Mathematics and Combinatorics
Applied Mathematics

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10.3934/dcdsb.2012.17.1455

Cite this

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abstract = "The standard convergence analysis of the simulation schemes for the hitting times of diffusions typically requires non-degeneracy of their coeficients 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.",

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KW - Diffusion

KW - Euler-Maruyama scheme

KW - Weak convergence

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The euler-maruyama approximation for the Absorption time of the cev diffusion

Abstract

Keywords

All Science Journal Classification (ASJC) codes

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