On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps (Q2035526)

scientific article

Language	Label	Description	Also known as
English	On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps	scientific article

Statements

instance of

scholarly article

0 references

title

On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps (English)

0 references

0 references

0 references

0 references

0 references

24 June 2021

0 references

full work available at URL

https://arxiv.org/abs/2002.09203

0 references

zbMATH Keywords

Ait-Sahalia model

0 references

Poisson jumps

0 references

backward Euler method

0 references

mean-square convergence rate

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Mean-square convergence of the BDF2-Maruyama and backward Euler schemes for SDE satisfying a global monotonicity condition

0 references

Runge-Kutta methods for jump-diffusion differential equations

0 references

Asymptotic Stability of a Jump-Diffusion Equation and Its Numerical Approximation

0 references

Convergence and stability of the backward Euler method for jump-diffusion SDEs with super-linearly growing diffusion and jump coefficients

0 references

Mean-square approximations of Lévy noise driven SDEs with super-linearly growing diffusion and jump coefficients

0 references

Financial Modelling with Jump Processes

0 references

On Tamed Euler Approximations of SDEs Driven by Lévy Noise with Applications to Delay Equations

0 references

Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation

0 references

The truncated EM method for stochastic differential equations with Poisson jumps

0 references

The Order of Approximations for Solutions of Itô-Type Stochastic Differential Equations with Jumps

0 references

Numerical methods for nonlinear stochastic differential equations with jumps

0 references

Q5479951

0 references

Strong convergence rates for backward Euler on a class of nonlinear jump-diffusion problems

0 references

Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations

0 references

Exponential mean square stability of numerical methods for systems of stochastic differential equations

0 references

Optimal global approximation of jump-diffusion SDEs via path-independent step-size control

0 references

On explicit approximations for Lévy driven SDEs with super-linear diffusion coefficients

0 references

On tamed Milstein schemes of SDEs driven by Lévy noise

0 references

On a positivity preserving numerical scheme for jump-extended CIR process: the alpha-stable case

0 references

Strong convergence and stability of implicit numerical methods for stochastic differential equations with non-globally Lipschitz continuous coefficients

0 references

Strong convergence rates for backward Euler–Maruyama method for non-linear dissipative-type stochastic differential equations with super-linear diffusion coefficients

0 references

First order strong approximations of scalar SDEs defined in a domain

0 references

Numerical solution of stochastic differential equations with jumps in finance

0 references

Optimal global approximation of stochastic differential equations with additive Poisson noise

0 references

Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model

0 references

Compensated stochastic theta methods for stochastic differential equations with jumps

0 references

Mean-square convergence rates of stochastic theta methods for SDEs under a coupled monotonicity condition

0 references

A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models

0 references

Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic differential equations

0 references

Identifiers

zbMATH Open document ID

1489.65018

0 references

DOI

10.1007/s11075-020-01009-1

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2035526