吉首大学学报（自然科学版）2025，Vol.46Issue(5)：10-18,9.DOI:10.13438/j.cnki.jdzk.2025.05.003
一类带Poisson跳的延迟利率波动率模型数值解的收敛性
Convergence Analysis of Numerical Solution of Delayed Interest Rate Model with Poisson Jumps
摘要
Abstract
An Ait-Sahalia interest rate model is constructed with delayed volatility driven by Poisson jumps,and its dynamic properties are investigated through a modified truncated Euler-Maruyama(EM)method.Under the theoretical framework of local Lipschitz conditions and Khasminskii-type condi-tions,it is proved that the numerical solution generated by the modified truncated EM method converges strongly to the true solution of the model.关键词
延迟利率波动率/改进截断Euler-Maruyama法/Ait-Sahalia模型/Poisson跳Key words
delayed interest volatility/modified truncated Euler-Maruyama scheme/Ait-Sahalia/Pois-son jumps分类
数理科学引用本文复制引用
冯登宏,李志民..一类带Poisson跳的延迟利率波动率模型数值解的收敛性[J].吉首大学学报（自然科学版）,2025,46(5):10-18,9.基金项目
国家自然科学基金面上资助项目(61873294) （61873294）
安徽高校省级自然科学研究重大项目(KJ2019ZD16) （KJ2019ZD16）
