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math.NA2017
Lower Error Bounds for Strong Approximation of Scalar SDEs with non-Lipschitzian Coefficients
Mario Hefter, André Herzwurm, Thomas Müller-Gronbach
We study pathwise approximation of scalar stochastic differential equations at a single time point or globally in time by means of methods that are based on finitely many observati…
math.NA2016
Strong Convergence Rates for Cox-Ingersoll-Ross Processes - Full Parameter Range
Mario Hefter, André Herzwurm
We study strong (pathwise) approximation of Cox-Ingersoll-Ross processes. We propose a Milstein-type scheme that is suitably truncated close to zero, where the diffusion coefficien…