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math.NA2018★ 17 cited
Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
Shounian Deng, Chen Fei, Weiyin Fei +1
In this paper, we consider the generalized Ait-Sahaliz interest rate model with Poisson jumps in finance. The analytical properties including the positivity, boundedness and pathwi…
math.NA2018
The truncated EM method for stochastic differential equations with Poisson jumps
Shounian Deng, Weiyin Fei, Wei Liu +1
In this paper, we use the truncated EM method to study the finite time strong convergence for the SDEs with Poisson jumps under the Khasminskii-type condition. We establish the fin…