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Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion

文献类型：期刊论文

作者Hong, Jialin1,2; Huang, Chuying1,2; Kamrani, Minoo3; Wang, Xu1,2
刊名STOCHASTIC PROCESSES AND THEIR APPLICATIONS
出版日期2020-05-01
卷号130期号:5页码:2675-2692
关键词Cox-Ingersoll-Ross model Fractional Brownian motion Backward Euler scheme Optimal strong convergence rate Malliavin calculus
ISSN号0304-4149
DOI10.1016/j.spa.2019.07.014
英文摘要In this paper, we investigate the optimal strong convergence rate of numerical approximations for the Cox-Ingersoll-Ross model driven by fractional Brownian motion with Hurst parameter H is an element of (1/2, 1). To deal with the difficulties caused by the unbounded diffusion coefficient, we study an auxiliary equation based on Lamperti transformation. By means of Malliavin calculus, we prove that the backward Euler scheme applied to this auxiliary equation ensures the positivity of the numerical solution, and is of strong order one. Furthermore, a numerical approximation for the original model is obtained and converges with the same order. (C) 2019 Elsevier B.V. All rights reserved.
资助项目National Natural Science Foundation of China[91530118] ; National Natural Science Foundation of China[91130003] ; National Natural Science Foundation of China[11021101] ; National Natural Science Foundation of China[91630312] ; National Natural Science Foundation of China[11290142]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000528486200004
出版者ELSEVIER
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/51345]  
专题中国科学院数学与系统科学研究院
通讯作者Huang, Chuying
作者单位1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
2.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China
3.Razi Univ, Fac Sci, Dept Math, Kermanshah, Iran
推荐引用方式
GB/T 7714		 Hong, Jialin,Huang, Chuying,Kamrani, Minoo,et al. Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS,2020,130(5):2675-2692.
APA Hong, Jialin,Huang, Chuying,Kamrani, Minoo,&Wang, Xu.(2020).Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion.STOCHASTIC PROCESSES AND THEIR APPLICATIONS,130(5),2675-2692.
MLA Hong, Jialin,et al."Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion".STOCHASTIC PROCESSES AND THEIR APPLICATIONS 130.5(2020):2675-2692.

入库方式： OAI收割

来源：数学与系统科学研究院

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