KMS Of Academy of mathematics and systems sciences, CAS
Optimal strong convergence rate of a backward Euler type scheme for the Cox-Ingersoll-Ross model driven by fractional Brownian motion | |
Hong, Jialin1,2; Huang, Chuying1,2; Kamrani, Minoo3; Wang, Xu1,2 | |
2020-05-01 | |
发表期刊 | STOCHASTIC PROCESSES AND THEIR APPLICATIONS |
ISSN | 0304-4149 |
卷号 | 130期号:5页码:2675-2692 |
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. |
关键词 | Cox-Ingersoll-Ross model Fractional Brownian motion Backward Euler scheme Optimal strong convergence rate Malliavin calculus |
DOI | 10.1016/j.spa.2019.07.014 |
收录类别 | SCI |
语种 | 英语 |
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 |
WOS类目 | Statistics & Probability |
WOS记录号 | WOS:000528486200004 |
出版者 | ELSEVIER |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/51346 |
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. |
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