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

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

scientific article; zbMATH DE number 7363176

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English	On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps	scientific article; zbMATH DE number 7363176

Statements

instance of

scholarly article

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title

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

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24 June 2021

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full work available at URL

https://arxiv.org/abs/2002.09203

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zbMATH Keywords

Ait-Sahalia model

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Poisson jumps

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backward Euler method

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mean-square convergence rate

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MaRDI profile type

MaRDI publication profile

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cites work

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

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Runge-Kutta methods for jump-diffusion differential equations

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

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

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

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Financial Modelling with Jump Processes

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On tamed Euler approximations of SDEs driven by Lévy noise with applications to delay equations

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

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The truncated EM method for stochastic differential equations with Poisson jumps

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

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Numerical methods for nonlinear stochastic differential equations with jumps

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Convergence and stability of implicit methods for jump-diffusion systems

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

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

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

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

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

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On tamed Milstein schemes of SDEs driven by Lévy noise

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

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

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

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First order strong approximations of scalar SDEs defined in a domain

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Numerical solution of stochastic differential equations with jumps in finance

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Optimal global approximation of stochastic differential equations with additive Poisson noise

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

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Compensated stochastic theta methods for stochastic differential equations with jumps

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

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

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

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Identifiers

zbMATH Open document ID

1489.65018

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Mathematics Subject Classification ID

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10.1007/S11075-020-01009-1

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Sitelinks

Mathematics(1 entry)

mardi Publication:2035526