The standard convergence analysis of the simulation schemes for the hitting times of diffusions typically requires non-degeneracy of their coefficients 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.
|Pages (from-to)||1455 - 1471|
|Number of pages||17|
|Journal||Discrete and Continuous Dynamical Systems - Series B|
|Publication status||Published - 2012|