On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
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Publication:2035526
Abstract: This article aims to reveal the mean-square convergence rate of the backward Euler method (BEM) for a generalized Ait-Sahaliz interest rate model with Poisson jumps. The main difficulty in the analysis is caused by the non-globally Lipschitz drift and diffusion coefficients of the model. We show that the BEM preserves positivity of the original problem. Furthermore, we successfully recover the mean-square convergence rate of order one-half for the BEM. The theoretical findings are accompanied by several numerical examples.
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Cited in
(8)- Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
- Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay
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- Numerical approximation of a hybrid Poisson-jump Ait-Sahalia-type interest rate model with delay
- Convergence of a partially truncated Euler-Maruyama method for SDEs with super-linear piecewise continuous drift and Hölder diffusion coefficients
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