We propose a positivity preserving implicit Euler-Maruyama scheme for a jump-extended Cox-Ingersoll-Ross (CIR) process where the jumps are governed by a compensated spectrally positive $α$-stable process for $α\in (1,2)$. Different to the existing positivity preserving numerical schemes for jump-extended CIR or CEV (Constant Elasticity Variance) process, the model considered here has infinite activity jumps. We calculate, in this specific model, the strong rate of convergence and give some numerical illustrations. Jump extended models of this type were initially studied in the context of branching processes and was recently introduced to the financial mathematics literature to model sovereign interest rates, power and energy markets.
Exponential ergodicity of the jump-diffusion CIR process
本文研究了跳跃扩散CIR过程（JCIR），它是经典CIR模型的推广。JCIR的跳跃是在纯跳跃Lévy过程$(J_t, t \ge 0)$的帮助下引入的。在$(J_t, t \ge 0)$的Lévy测度的适当条件下，得到了JCIR过程转移密度的一个下界.我们也找到了一些充分条件，保证存在的一个Forster-Lyapunov函数的JCIR过程，这使我们能够证明其指数遍历性。
Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
School of Science, Nanjing University of Science and Technology（南京理工大学理学院）；School of Mathematics and Physics, Anhui Polytechnic University（安徽工程大学数理学院）；Glorious Sun School of Business and Management, Donghua University（东华大学旭日工商管理学院）；Department of Mathematics and Statistics, University of Strathclyde（斯特拉斯克莱德大学数学与统计系）
We explicitly construct so-called captive jump processes. These are stochastic processes in continuous time, whose dynamics are confined by a time-inhomogeneous bounded domain. The drift and volatility of the captive processes depend on the domain's boundaries which in turn restricts the state space of the process. We show how an insurmountable shell may contain the captive jump process while the process may jump within the restricted domain. In a further development, we also show how - within a confined domain - inner time-dependent corridors can be introduced, which a captive jump process ma…
