Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
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Publication:273787
DOI10.1016/j.spl.2016.01.026zbMath1336.91082OpenAlexW2267406724MaRDI QIDQ273787
Publication date: 22 April 2016
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2016.01.026
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (5)
Tail estimates for exponential functionals and applications to SDEs ⋮ Distribution of the integral of maximum processes and applications ⋮ Delay Ait-Sahalia-type interest rate model with jumps and its strong approximation ⋮ Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay ⋮ Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift
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- The Malliavin Calculus and Related Topics
- ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES
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