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

Ziyi Lei Siqing Gan Jing Liu

Published in: Numer. Algorithms (2023)

Keyphrases

high level
probability distribution
statistical model
probabilistic model
prior knowledge
closed form
mathematical model
machine learning
formal model
management system
higher order
poisson process
theoretical analysis
input data
cost function
special case
multi agent systems
knowledge base