Convergence in probability of numerical solutions of a highly non-linear delayed stochastic interest rate model
Emmanuel Coffie
公開日: 2025/10/5
Abstract
We examine a delayed stochastic interest rate model with super-linearly growing coefficients and develop several new mathematical tools to establish the properties of its true and truncated EM solutions. Moreover, we show that the true solution converges to the truncated EM solutions in probability as the step size tends to zero. Further, we support the convergence result with some illustrative numerical examples and justify the convergence result for the Monte Carlo evaluation of some financial quantities.