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Strong convergence of the symmetrized Milstein scheme for some CEV-like SDEs. (English) Zbl 1426.60067

Summary: In this paper, we study the rate of convergence of a symmetrized version of the Milstein scheme applied to the solution of the one dimensional SDE \[ X_{t}=x_{0}+\int_{0}^{t}{b(X_{s})\,ds}+\int_{0}^{t}{\sigma| X_{s}|^{\alpha}\,dW_{s}},\qquad x_{0}>0,\quad \sigma>0,\quad \alpha\in\left [\frac{1}{2},1\right ). \] Assuming \(b(0)/\sigma^{2}\) big enough, and \(b\) smooth, we prove a strong rate of convergence of order one, recovering the classical result of Milstein for SDEs with smooth diffusion coefficient. In contrast with other recent results, our proof does not relies on Lamperti transformation, and it can be applied to a wide class of drift functions. On the downside, our hypothesis on the critical parameter value \(b(0)/\sigma^{2}\) is more restrictive than others available in the literature. Some numerical experiments and comparison with various other schemes complement our theoretical analysis that also applies for the simple projected Milstein scheme with same convergence rate.

MSC:

60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60F15 Strong limit theorems
60H35 Computational methods for stochastic equations (aspects of stochastic analysis)
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