Abstract
We study exponential integrability properties of the Cox--Ingersoll--Ross (CIR) process and its Euler--Maruyama 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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More From: Discrete and Continuous Dynamical Systems - Series B
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