Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model

DOI10.1016/j.spl.2016.01.026zbMath1336.91082OpenAlexW2267406724MaRDI QIDQ273787

Nguyen Tien Dung

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

zbMATH Keywords

Malliavin calculustail probabilitiesAit-Sahalia model

Mathematics Subject Classification ID

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

Cites Work

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• Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
• Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions
• Density formula and concentration inequalities with Malliavin calculus
• Inequalities for differential and integral equations
• An interest rate model with upper and lower bounds
• On a characterization of the Sobolev spaces over an abstract Wiener space
• A Theory of the Term Structure of Interest Rates
• The Malliavin Calculus and Related Topics
• ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES

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