Ergodicity of generalized Ait-Sahalia-type interest rate model.

In this paper, we consider sufficient conditions for the stationary distribution of generalized Ait-Sahalia-type interest rate model. We show that ifr⩾ 2ρ − 1, then the generalized Ait-Sahalia interest rate model has a unique stationary distribution and ifr< 2ρ − 1, then the generalized Ait-Sahalia interest rate model is recurrent relative to the domain (0, ϵ), for any ϵ > 0. Besides, some recursion formulas for the stationary distribution are presented. Finally, some numerical simulations are used to illustrate our results. [ABSTRACT FROM AUTHOR]