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 | |
| Source Publication | STOCHASTIC PROCESSES AND THEIR APPLICATIONS
 |
| ISSN | 0304-4149 |
| Volume | 130Issue:5Pages:2675-2692 |
| Abstract | 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. |
| Keyword | Cox-Ingersoll-Ross model Fractional Brownian motion Backward Euler scheme Optimal strong convergence rate Malliavin calculus |
| DOI | 10.1016/j.spa.2019.07.014 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | 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 Research Area | Mathematics |
| WOS Subject | Statistics & Probability |
| WOS ID | WOS:000528486200004 |
| Publisher | ELSEVIER |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/51346 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Huang, Chuying |
| Affiliation | 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 |
| Recommended Citation 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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