Journal article icon

Journal article

Exponential integrability properties of euler discretization schemes for the Cox-Ingersoll-Ross process

Abstract:

We study exponential integrability properties of the Cox-IngersollRoss (CIR) process and its Euler discretizations with various types of truncation and reflection at 0. These properties play a key role in establishing the finiteness of moments and the strong convergence of numerical approximations for a class of stochastic differential equations arising in finance. We prove that both implicit and explicit Euler-Maruyama discretizations for the CIR process preserve the exponential integrabilit...

Expand abstract
Publication status:
Published
Peer review status:
Peer reviewed

Actions


Access Document


Files:
Publisher copy:
10.3934/dcdsb.2016101

Authors


More by this author
Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
More by this author
Institution:
University of Oxford
Oxford college:
St Catherine's College
Role:
Author
Publisher:
American Institute of Mathematical Sciences
Journal:
Discrete and Continuous Dynamical Systems - Series B More from this journal
Volume:
21
Issue:
10
Pages:
3359-3377
Publication date:
2016-12-01
Acceptance date:
2016-08-01
DOI:
EISSN:
1553-524X
ISSN:
1531-3492
Keywords:
Pubs id:
pubs:672239
UUID:
uuid:abce2300-076e-4d48-9cbb-bec20277ee71
Local pid:
pubs:672239
Source identifiers:
672239
Deposit date:
2017-01-30

Terms of use


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP