The euler-maruyama approximation for the Absorption time of the cev diffusion

Pavel Chigansky*, Fima C. Klebaner

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

The standard convergence analysis of the simulation schemes for the hitting times of diffusions typically requires non-degeneracy of their coeficients on the boundary, which excludes the possibility of absorption. In this paper we consider the CEV diffusion from the mathematical finance and show how a weakly consistent approximation for the absorption time can be constructed, using the Euler-Maruyama scheme.

Original languageAmerican English
Pages (from-to)1455-1471
Number of pages17
JournalDiscrete and Continuous Dynamical Systems - Series B
Volume17
Issue number5
DOIs
StatePublished - Jul 2012

Keywords

  • Absorption times
  • CEV model
  • Diffusion
  • Euler-Maruyama scheme
  • Weak convergence

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