Exponential integrability properties of euler discretization schemes for the Cox-Ingersoll-Ross process
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 f...
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| Format: | Journal article |
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American Institute of Mathematical Sciences
2016
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| _version_ | 1797088105862266880 |
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| author | Cozma, A Reisinger, C |
| author_facet | Cozma, A Reisinger, C |
| author_sort | Cozma, A |
| collection | OXFORD |
| description | 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 integrability of the exact solution for a wide range of parameters, and find lower bounds on the explosion time. |
| first_indexed | 2024-03-07T02:45:09Z |
| format | Journal article |
| id | oxford-uuid:abce2300-076e-4d48-9cbb-bec20277ee71 |
| institution | University of Oxford |
| last_indexed | 2024-03-07T02:45:09Z |
| publishDate | 2016 |
| publisher | American Institute of Mathematical Sciences |
| record_format | dspace |
| spelling | oxford-uuid:abce2300-076e-4d48-9cbb-bec20277ee712022-03-27T03:24:24ZExponential integrability properties of euler discretization schemes for the Cox-Ingersoll-Ross processJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:abce2300-076e-4d48-9cbb-bec20277ee71Symplectic Elements at OxfordAmerican Institute of Mathematical Sciences2016Cozma, AReisinger, CWe 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 integrability of the exact solution for a wide range of parameters, and find lower bounds on the explosion time. |
| spellingShingle | Cozma, A Reisinger, C Exponential integrability properties of euler discretization schemes for the Cox-Ingersoll-Ross process |
| title | Exponential integrability properties of euler discretization schemes for the Cox-Ingersoll-Ross process |
| title_full | Exponential integrability properties of euler discretization schemes for the Cox-Ingersoll-Ross process |
| title_fullStr | Exponential integrability properties of euler discretization schemes for the Cox-Ingersoll-Ross process |
| title_full_unstemmed | Exponential integrability properties of euler discretization schemes for the Cox-Ingersoll-Ross process |
| title_short | Exponential integrability properties of euler discretization schemes for the Cox-Ingersoll-Ross process |
| title_sort | exponential integrability properties of euler discretization schemes for the cox ingersoll ross process |
| work_keys_str_mv | AT cozmaa exponentialintegrabilitypropertiesofeulerdiscretizationschemesforthecoxingersollrossprocess AT reisingerc exponentialintegrabilitypropertiesofeulerdiscretizationschemesforthecoxingersollrossprocess |