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Ergodicity of generalized Ait-Sahalia-type interest rate model.
- Source :
- Communications in Statistics: Theory & Methods; 2017, Vol. 46 Issue 16, p8199-8209, 11p
- Publication Year :
- 2017
-
Abstract
- 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]
Details
- Language :
- English
- ISSN :
- 03610926
- Volume :
- 46
- Issue :
- 16
- Database :
- Complementary Index
- Journal :
- Communications in Statistics: Theory & Methods
- Publication Type :
- Academic Journal
- Accession number :
- 123451103
- Full Text :
- https://doi.org/10.1080/03610926.2016.1177078