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

DOI10.3934/dcdsb.2017005zbMath1360.60111OpenAlexW2560518970MaRDI QIDQ523974

Tianhai Tian, Hua Yang, Feng Jiang

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)

Related Items (4)

A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver ⋮ Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation ⋮ Boundary preserving explicit scheme for the Aït-Sahalia mode ⋮ Strong and weak convergence rates of logarithmic transformed truncated EM methods for SDEs with positive solutions

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