Abstract
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.
Original language | English |
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Pages (from-to) | 1455 - 1471 |
Number of pages | 17 |
Journal | Discrete and Continuous Dynamical Systems - Series B |
Volume | 17 |
Issue number | 5 |
DOIs | |
Publication status | Published - 2012 |