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Paper detail

The Euler-Maruyama approximation for the absorption time of the CEV diffusion

A 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.

preprint2012arXivOpen access
Pavel ChiganskyFima C. Klebaner
math.PRNumerical Analysis
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Pavel ChiganskyFima C. Klebaner

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