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

DOI10.1007/s11075-020-01009-1zbMath1489.65018arXiv2002.09203OpenAlexW3092259143MaRDI QIDQ2035526

Mengchao Wang, Yu-Ying Zhao, Xiao-Jie Wang

Publication date: 24 June 2021

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2002.09203

zbMATH Keywords

backward Euler methodPoisson jumpsAit-Sahalia modelmean-square convergence rate

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Positivity-preserving truncated Euler-Maruyama method for generalised Ait-Sahalia-type interest model

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