Ergodicity of generalized ait-sahalia-type interest rate model

DOI10.1080/03610926.2016.1177078MaRDI QIDQ5367298zbMATH OpenOpenAlexFDO

Authors Xinghu Jin, Zhen Zhong Zhang

Publication date 12 October 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2016.1177078

zbMATH Keywords

ergodicitystationary distributionAit-Sahalia-type interest rate model

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60) Financial applications of other theories (91G80)

Recommendations

• Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
• Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
• Ergodicity of CIR type SDEs driven by stable processes with random switching
• Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions
• Necessary and sufficient conditions for ergodicity of CIR model driven by stable processes with Markov switching

Cited in

(5)

• Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation
• Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
• Stationarity and ergodicity for an affine two-factor model
• Parameter estimation for generalized Ait-Sahalia-type interest rate model
• Property and numerical simulation of the Ait-Sahalia-Rho model with nonlinear growth conditions

This page was built for publication: Ergodicity of generalized ait-sahalia-type interest rate model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5367298)