Strong convergence of some drift implicit Euler scheme. Application to the CIR process

Karatzas Ioannis, and Shreve Steven E. (1991) Brownian motion and stochastic calculus. Second edition. Graduate Texts in Mathematics, 113. Springer-Verlag, New York

1991

Earlier work this paper cites.

Higham Desmond J., Mao Xuerong and Stuart Andrew M. (2002). Strong convergence of Euler-type methods for nonlinear stochastic differential equations. SIAM J. Numer. Anal., Vol. 40, No. 3, pp. 1041-1063

2002

Earlier work this paper cites.

Alfonsi Aurélien (2005). On the discretization schemes for the CIR (and Bessel squared) processes. Monte Carlo Methods and Applications, Vol. 11, No. 4, pp. 355-467

2005

Cited alongside, same era.

Detemple Jérôme, Garcia René, Rindisbacher Marcel (2006). Asymptotic properties of Monte Carlo estimators of diffusion processes. Journal of Econometrics, Vol. 134, No. 1, pp. 1-68

2006

Cited alongside, same era.

Dereich Steffen, Neuenkirch Andreas, and Szpruch Lukasz (2012). An Euler-type method for the strong approximation of the Cox-Ingersoll-Ross process. Proc. R. Soc. A April 8, 2012 Vol. 468, No. 2140, pp. 1105-1115

2012

Closest in time.