Weiyin Fei

Shounian Deng, Weiyin Fei, Wei Liu et al.

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 finite time $ \mathcal L ^r (r \ge 2) $ convergence rate when the drift and diffusion coefficients satisfy super-linear condition and the jump coefficient satisfies the linear growth condition. The result shows that the optimal $\mathcal L ^r$-convergence rate is close to $ 1/ (1 + γ)$, where $γ$ is the super-linear growth constant. This is significantly different from the result on SDEs without jumps. When all the three coefficients of SDEs are allowing to grow super-linearly, the $ \mathcal L^r (0<r<2)$ strong convergence results are also investigated and the optimal strong convergence rate is shown to be not greater than $1/4$. Moreover, we prove that the truncated EM method preserve nicely the mean square exponentially stability and asymptotic boundedness of the underlying SDEs with Piosson jumps. Several examples are given to illustrate our results.

Shounian Deng, Chen Fei, Weiyin Fei et al.

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 pathwise asymptotic estimations of the solution to the model are investigated. Moreover, we prove that the Euler-Maruyama (EM) numerical solutions will converge to the true solution in probability. Finally, under assumption that the interest rate or the asset price is governed by this model, we apply the EM solutions to compute some financial quantities.

Shounian Deng, Weiyin Fei, Banban Shi

Most existing literature focuses on pointwise convergence (i.e., convergence at a fixed time point) of numerical solutions for Stochastic functional differential equations (SFDEs). In contrast, this paper investigates the strong segment convergence (i.e., the strong order of convergence of the numerical segment process). For SFDEs with super-linear drift and diffusion coefficients, we employ the explicit truncated Euler-Maruyama (EM) scheme. First, we establish the uniform moment boundedness of the truncated EM solution over a finite time interval. Second, we derive the $L^2$-error estimate between the continuous numerical segment and the step numerical segment. Finally, we prove the strong convergence order of the numerical segment generated by the truncated EM. The results can be used to analyze invariant measures and ergodicity of numerical segment, and have important applications in practical problems such as path-dependent financial options. We also provide a numerical example to support the theoretical results.