Ergodicity of generalized Ait-Sahalia-type interest rate model

DOI10.1080/03610926.2016.1177078zbMath1372.60120OpenAlexW2504954728MaRDI QIDQ5367298

Zhen Zhong Zhang, Xinghu Jin

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

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

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Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation ⋮ Parameter estimation for generalized Ait-Sahalia-type interest rate model

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