Strong order one convergence of a drift implicit Euler scheme: Application to the CIR process

A Note on the Convergence of Integral Fu

A Note on the Convergence of Integral Functionals of Diffusion Processes. An Application to Strong Convergence

✍ F. Liese; W. Schmidt 📂 Article 📅 1993 🏛 John Wiley and Sons 🌐 English ⚖ 268 KB

For a diffusion type process dX, = d w + a(t, X) dt and a sequence (f,) of nonnegative functions necessary and sufficient conditions to the f, are established which guarantee the as. convergence of fn(X,) dt to zero. This result is applied to derive simple necessary and sufficient conditions for the