英文标题：
《Exponential integrability properties of Euler discretization schemes for
the Cox-Ingersoll-Ross process》
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作者：
Andrei Cozma and Christoph Reisinger
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最新提交年份：
2015
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英文摘要：
We analyze exponential integrability properties of the Cox-Ingersoll-Ross (CIR) process and its Euler discretizations with various types of truncation and reflection at 0. These properties play a key role in establishing the finiteness of moments and the strong convergence of numerical approximations for a class of stochastic differential equations arising in finance. We prove that both implicit and explicit Euler-Maruyama discretizations for the CIR process preserve the exponential integrability of the exact solution for a wide range of parameters, and find lower bounds on the explosion time.
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中文摘要：
我们分析了Cox-Ingersoll-Ross（CIR）过程及其Euler离散在0。这些性质对于建立金融学中一类随机微分方程的矩的有限性和数值逼近的强收敛性起着关键作用。我们证明了CIR过程的隐式和显式Euler-Maruyama离散在很大范围内保持了精确解的指数可积性，并找到了爆炸时间的下界。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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