报告人：甘四清（中南大学）

邀请人：黄乘明

报告时间：2021年11月23日（星期二）9:00-11:00

报告地点：腾讯会议：943 437 886

报告题目：First order strong approximation of Ait-Sahalia-type interest rate model with Poisson jumps

报告摘要：For Ait-Sahalia-type interest rate model with Poisson jumps, we are interested in strong convergence of a novel time-stepping method, called transformed jump-adapted backward Euler method (TJABEM). Under certain hypothesis, the considered model takes values in positive domain. It is shown that the TJABEM can preserve the domain of the underlying problem. Furthermore, for the above model with non-globally Lipschitz drift and diffusion coefficients, the strong convergence rate of order one of the TJABEM is recovered with respect to a L^p-error criterion. Finally, numerical experiments are given to illustrate the theoretical results.

报告人简介：甘四清，中南大学sunbet中国官网教授、博士生导师。主要研究方向为确定性微分方程和随机微分方程数值解法。在SIAM Journal on Scientific Computing、Journal of Scientific Computing、BIT Numerical Analysis、Applied Numerical Mathematics、Journal of Mathematics Analysis、中国科学等国内外学术刊物上发表论文90余篇，其中SCI收录60余篇。