most citedFirst order strong approximation of Ait-Sahalia-type interest rate model with Poisson jumps

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math.NA2021★ 1 cited

First order strong approximation of Ait-Sahalia-type interest rate model with Poisson jumps

Ziyi Lei, Siqing Gan, Jing Liu

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…