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<p>In this paper, the primary objective is to examine the strong convergence of a delayed jump-diffusion Cox–Ingersoll–Ross (JCIR) model with Markovian switching. After establishing the nonnegativity and moment boundedness of the exact solution, we develop a Euler–Maruyama (EM) method that preserves moment boundedness. Furthermore, we demonstrate that the numerical solution strongly converges to the exact solution with a rate of <InlineEquation ID="IEq1"> <EquationSource Format="TEX">\(1/{\ln n}\)</EquationSource> <EquationSource Format="MATHML"><math> <mrow> <mn>1</mn> <mo stretchy="false">/</mo> <mrow> <mo>ln</mo> <mi>n</mi> </mrow> </mrow> </math></EquationSource> </InlineEquation>.</p>

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Strong Convergence of the Euler Scheme for a Delayed Jump-Diffusion CIR Model with Markovian Switching

  • 期刊论文

  • 发表日期：

    2025年12月15日

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  • Shengrong Wang,
  • Li Tan

摘要

In this paper, the primary objective is to examine the strong convergence of a delayed jump-diffusion Cox–Ingersoll–Ross (JCIR) model with Markovian switching. After establishing the nonnegativity and moment boundedness of the exact solution, we develop a Euler–Maruyama (EM) method that preserves moment boundedness. Furthermore, we demonstrate that the numerical solution strongly converges to the exact solution with a rate of \(1/{\ln n}\) 1 / ln n .