Vasicek with jumps at a switching intensity

Upward jumps in the intensity that arrive more often in one regime.

The intensity follows $dx = \kappa(\theta_y - x)\,dt + \sigma_y\,dW + dJ$, where $J$ jumps at rate $\ell_y$ by exponential amounts of mean $m$. Jumps change only the time function:

Here $\kappa = 2$, $\theta = (0.05, 0.02)$, $\sigma = (0.02, 0.01)$, $\ell = (3, 0.2)$ and $m = 0.03$. The table gives the error in $a_1(3)$ after each order.