Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
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Publication:2163140
DOI10.1016/j.physa.2019.122057OpenAlexW2892350531WikidataQ127496833 ScholiaQ127496833MaRDI QIDQ2163140
Shounian Deng, Xuerong Mao, Chen Fei, Weiyin Fei
Publication date: 10 August 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.00091
Related Items (7)
Delay-dependent asymptotic stability of highly nonlinear stochastic differential delay equations driven by \(G\)-Brownian motion ⋮ Efficient Approximation of SDEs Driven by Countably Dimensional Wiener Process and Poisson Random Measure ⋮ Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation ⋮ Positivity-preserving truncated Euler-Maruyama method for generalised Ait-Sahalia-type interest model ⋮ Existence, uniqueness, and approximation of solutions of jump-diffusion SDEs with discontinuous drift ⋮ On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps ⋮ Positivity preserving stochastic \(\theta\)-methods for selected SDEs
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