论文标题
在向后的Euler方法上，用于泊松跳跃的广义AIT AIT-SAHALIA型速率模型
On the backward Euler method for a generalized Ait-Sahalia-type rate model with Poisson jumps
论文作者
论文摘要
本文的目的是揭示与Poisson跳跃的广义AIT-Sahaliz利率模型的向后Euler方法（BEM）的平均值收敛速率。分析的主要困难是由非全球Lipschitz漂移和模型扩散系数引起的。我们表明，BEM保留了原始问题的积极性。此外，我们成功地恢复了BEM一半的均值收敛速率。理论发现伴随着几个数值示例。
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.
