Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions

DOI10.3934/DCDSB.2017005MaRDI QIDQ523974zbMATH OpenOpenAlexFDO

Authors Feng Jiang, Hua Yang, Tianhai Tian

Publication date 25 April 2017

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcdsb.2017005

zbMATH Keywords

boundednessconvergence in probabilityAit-Sahalia-Rho model

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic particle methods (65C35)

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Cites work

• scientific article; zbMATH DE number 1099342 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
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• Choice of \({\theta}\) and mean-square exponential stability in the stochastic theta method of stochastic differential equations
• Convergence and stability of the semi-tamed Euler scheme for stochastic differential equations with non-Lipschitz continuous coefficients
• Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
• Highly nonlinear model in finance and convergence of Monte Carlo simulations
• Jump systems with the mean-reverting \(\gamma \)-process and convergence of the numerical approximation
• Large deviations for some fast stochastic volatility models by viscosity methods
• Nonparametric Pricing of Interest Rate Derivative Securities
• Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
• The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model
• The LaSalle-type theorem for neutral stochastic functional differential equations with infinite delay
• Theta schemes for SDDEs with non-globally Lipschitz continuous coefficients

Cited in

(8)

• Highly nonlinear model in finance and convergence of Monte Carlo simulations
• Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
• Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions
• Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
• A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver
• Boundary preserving explicit scheme for the Aït-Sahalia mode
• Ergodicity of generalized ait-sahalia-type interest rate model
• Truncated EM numerical method for generalised Ait-Sahalia-type interest rate model with delay

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