First order strong approximation of Ait–Sahalia-type interest rate model with Poisson jumps
For Ait–Sahalia-type interest rate model with Poisson jumps, we are interested in strong convergence of a novel time-stepping method, called transformed jump-adapted backward Euler method (TJABEM). Under certain hypotheses, the considered model takes values in positive domain. It is shown that the T...
Gespeichert in:
| Veröffentlicht in: | Numerical algorithms 2023-09, Vol.94 (1), p.93-130 |
|---|---|
| Hauptverfasser: | , , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 130 |
|---|---|
| container_issue | 1 |
| container_start_page | 93 |
| container_title | Numerical algorithms |
| container_volume | 94 |
| creator | Lei, Ziyi Gan, Siqing Liu, Jing |
| description | For Ait–Sahalia-type interest rate model with Poisson jumps, we are interested in strong convergence of a novel time-stepping method, called transformed jump-adapted backward Euler method (TJABEM). Under certain hypotheses, the considered model takes values in positive domain. It is shown that the TJABEM can preserve the domain of the underlying problem. Furthermore, the first-order convergence rate of the TJABEM is recovered with respect to a
L
p
-error criterion. Numerical experiments are finally given to illustrate the theoretical results. |
| doi_str_mv | 10.1007/s11075-022-01494-6 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_journals_2918628472</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>2918628472</sourcerecordid><originalsourceid>FETCH-LOGICAL-c270t-caa127d8cf44f868a656d311ddaf34f4ee735dc6a68ce0f4d1f492ef909b01b13</originalsourceid><addsrcrecordid>eNp9kM1KAzEUhYMoWKsv4CrgOpqbySQzy1L8g4KCupSQziRtSjsZkxTtznfwDX0SoyO4c3Xv4nznnnsQOgV6DpTKiwhAZUkoY4QCrzkRe2gEpWSkZqLczzsFSaCoq0N0FOOK0owxOULPVy7EhH1oTcAxBd8tsO774N_cRifnO-wtnrj0-f7xoJd67TRJu95g1yUTTCaDTgZvfGvW-NWlJb73LsaMrbabPh6jA6vX0Zz8zjF6urp8nN6Q2d317XQyIw2TNJFGa2CyrRrLua1EpUUp2gKgbbUtuOXGyKJsG6FF1RhqeQuW18zYmtZzCnMoxuhs8M3BX7Y5llr5bejyScVqqASruGRZxQZVE3yMwVjVh_xl2Cmg6rtGNdSoco3qp0YlMlQMUMzibmHCn_U_1BdAA3fq</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>2918628472</pqid></control><display><type>article</type><title>First order strong approximation of Ait–Sahalia-type interest rate model with Poisson jumps</title><source>SpringerLink Journals - AutoHoldings</source><creator>Lei, Ziyi ; Gan, Siqing ; Liu, Jing</creator><creatorcontrib>Lei, Ziyi ; Gan, Siqing ; Liu, Jing</creatorcontrib><description>For Ait–Sahalia-type interest rate model with Poisson jumps, we are interested in strong convergence of a novel time-stepping method, called transformed jump-adapted backward Euler method (TJABEM). Under certain hypotheses, the considered model takes values in positive domain. It is shown that the TJABEM can preserve the domain of the underlying problem. Furthermore, the first-order convergence rate of the TJABEM is recovered with respect to a
L
p
-error criterion. Numerical experiments are finally given to illustrate the theoretical results.</description><identifier>ISSN: 1017-1398</identifier><identifier>EISSN: 1572-9265</identifier><identifier>DOI: 10.1007/s11075-022-01494-6</identifier><language>eng</language><publisher>New York: Springer US</publisher><subject>Algebra ; Algorithms ; Approximation ; Computer Science ; Convergence ; Interest rates ; Methods ; Numeric Computing ; Numerical Analysis ; Original Paper ; Theory of Computation</subject><ispartof>Numerical algorithms, 2023-09, Vol.94 (1), p.93-130</ispartof><rights>The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature 2023. Springer Nature or its licensor (e.g. a society or other partner) holds exclusive rights to this article under a publishing agreement with the author(s) or other rightsholder(s); author self-archiving of the accepted manuscript version of this article is solely governed by the terms of such publishing agreement and applicable law.</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><cites>FETCH-LOGICAL-c270t-caa127d8cf44f868a656d311ddaf34f4ee735dc6a68ce0f4d1f492ef909b01b13</cites><orcidid>0000-0001-6421-8832</orcidid></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://link.springer.com/content/pdf/10.1007/s11075-022-01494-6$$EPDF$$P50$$Gspringer$$H</linktopdf><linktohtml>$$Uhttps://link.springer.com/10.1007/s11075-022-01494-6$$EHTML$$P50$$Gspringer$$H</linktohtml><link.rule.ids>314,776,780,27901,27902,41464,42533,51294</link.rule.ids></links><search><creatorcontrib>Lei, Ziyi</creatorcontrib><creatorcontrib>Gan, Siqing</creatorcontrib><creatorcontrib>Liu, Jing</creatorcontrib><title>First order strong approximation of Ait–Sahalia-type interest rate model with Poisson jumps</title><title>Numerical algorithms</title><addtitle>Numer Algor</addtitle><description>For Ait–Sahalia-type interest rate model with Poisson jumps, we are interested in strong convergence of a novel time-stepping method, called transformed jump-adapted backward Euler method (TJABEM). Under certain hypotheses, the considered model takes values in positive domain. It is shown that the TJABEM can preserve the domain of the underlying problem. Furthermore, the first-order convergence rate of the TJABEM is recovered with respect to a
L
p
-error criterion. Numerical experiments are finally given to illustrate the theoretical results.</description><subject>Algebra</subject><subject>Algorithms</subject><subject>Approximation</subject><subject>Computer Science</subject><subject>Convergence</subject><subject>Interest rates</subject><subject>Methods</subject><subject>Numeric Computing</subject><subject>Numerical Analysis</subject><subject>Original Paper</subject><subject>Theory of Computation</subject><issn>1017-1398</issn><issn>1572-9265</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2023</creationdate><recordtype>article</recordtype><sourceid>BENPR</sourceid><recordid>eNp9kM1KAzEUhYMoWKsv4CrgOpqbySQzy1L8g4KCupSQziRtSjsZkxTtznfwDX0SoyO4c3Xv4nznnnsQOgV6DpTKiwhAZUkoY4QCrzkRe2gEpWSkZqLczzsFSaCoq0N0FOOK0owxOULPVy7EhH1oTcAxBd8tsO774N_cRifnO-wtnrj0-f7xoJd67TRJu95g1yUTTCaDTgZvfGvW-NWlJb73LsaMrbabPh6jA6vX0Zz8zjF6urp8nN6Q2d317XQyIw2TNJFGa2CyrRrLua1EpUUp2gKgbbUtuOXGyKJsG6FF1RhqeQuW18zYmtZzCnMoxuhs8M3BX7Y5llr5bejyScVqqASruGRZxQZVE3yMwVjVh_xl2Cmg6rtGNdSoco3qp0YlMlQMUMzibmHCn_U_1BdAA3fq</recordid><startdate>20230901</startdate><enddate>20230901</enddate><creator>Lei, Ziyi</creator><creator>Gan, Siqing</creator><creator>Liu, Jing</creator><general>Springer US</general><general>Springer Nature B.V</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8FE</scope><scope>8FG</scope><scope>ABJCF</scope><scope>AFKRA</scope><scope>ARAPS</scope><scope>AZQEC</scope><scope>BENPR</scope><scope>BGLVJ</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>GNUQQ</scope><scope>HCIFZ</scope><scope>JQ2</scope><scope>K7-</scope><scope>L6V</scope><scope>M7S</scope><scope>P62</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>PTHSS</scope><orcidid>https://orcid.org/0000-0001-6421-8832</orcidid></search><sort><creationdate>20230901</creationdate><title>First order strong approximation of Ait–Sahalia-type interest rate model with Poisson jumps</title><author>Lei, Ziyi ; Gan, Siqing ; Liu, Jing</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c270t-caa127d8cf44f868a656d311ddaf34f4ee735dc6a68ce0f4d1f492ef909b01b13</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2023</creationdate><topic>Algebra</topic><topic>Algorithms</topic><topic>Approximation</topic><topic>Computer Science</topic><topic>Convergence</topic><topic>Interest rates</topic><topic>Methods</topic><topic>Numeric Computing</topic><topic>Numerical Analysis</topic><topic>Original Paper</topic><topic>Theory of Computation</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Lei, Ziyi</creatorcontrib><creatorcontrib>Gan, Siqing</creatorcontrib><creatorcontrib>Liu, Jing</creatorcontrib><collection>CrossRef</collection><collection>ProQuest SciTech Collection</collection><collection>ProQuest Technology Collection</collection><collection>Materials Science & Engineering Collection</collection><collection>ProQuest Central UK/Ireland</collection><collection>Advanced Technologies & Aerospace Collection</collection><collection>ProQuest Central Essentials</collection><collection>ProQuest Central</collection><collection>Technology Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central Korea</collection><collection>ProQuest Central Student</collection><collection>SciTech Premium Collection</collection><collection>ProQuest Computer Science Collection</collection><collection>Computer Science Database</collection><collection>ProQuest Engineering Collection</collection><collection>Engineering Database</collection><collection>ProQuest Advanced Technologies & Aerospace Collection</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>Engineering Collection</collection><jtitle>Numerical algorithms</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Lei, Ziyi</au><au>Gan, Siqing</au><au>Liu, Jing</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>First order strong approximation of Ait–Sahalia-type interest rate model with Poisson jumps</atitle><jtitle>Numerical algorithms</jtitle><stitle>Numer Algor</stitle><date>2023-09-01</date><risdate>2023</risdate><volume>94</volume><issue>1</issue><spage>93</spage><epage>130</epage><pages>93-130</pages><issn>1017-1398</issn><eissn>1572-9265</eissn><abstract>For Ait–Sahalia-type interest rate model with Poisson jumps, we are interested in strong convergence of a novel time-stepping method, called transformed jump-adapted backward Euler method (TJABEM). Under certain hypotheses, the considered model takes values in positive domain. It is shown that the TJABEM can preserve the domain of the underlying problem. Furthermore, the first-order convergence rate of the TJABEM is recovered with respect to a
L
p
-error criterion. Numerical experiments are finally given to illustrate the theoretical results.</abstract><cop>New York</cop><pub>Springer US</pub><doi>10.1007/s11075-022-01494-6</doi><tpages>38</tpages><orcidid>https://orcid.org/0000-0001-6421-8832</orcidid></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 1017-1398 |
| ispartof | Numerical algorithms, 2023-09, Vol.94 (1), p.93-130 |
| issn | 1017-1398 1572-9265 |
| language | eng |
| recordid | cdi_proquest_journals_2918628472 |
| source | SpringerLink Journals - AutoHoldings |
| subjects | Algebra Algorithms Approximation Computer Science Convergence Interest rates Methods Numeric Computing Numerical Analysis Original Paper Theory of Computation |
| title | First order strong approximation of Ait–Sahalia-type interest rate model with Poisson jumps |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-02-07T13%3A08%3A34IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=First%20order%20strong%20approximation%20of%20Ait%E2%80%93Sahalia-type%20interest%20rate%20model%20with%20Poisson%20jumps&rft.jtitle=Numerical%20algorithms&rft.au=Lei,%20Ziyi&rft.date=2023-09-01&rft.volume=94&rft.issue=1&rft.spage=93&rft.epage=130&rft.pages=93-130&rft.issn=1017-1398&rft.eissn=1572-9265&rft_id=info:doi/10.1007/s11075-022-01494-6&rft_dat=%3Cproquest_cross%3E2918628472%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=2918628472&rft_id=info:pmid/&rfr_iscdi=true |