Ergodicity of generalized Ait-Sahalia-type interest rate model |
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| Authors: | Xinghu Jin |
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| Institution: | Department of Applied Mathematics, Donghua University, Shanghai, China |
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| Abstract: | In this paper, we consider sufficient conditions for the stationary distribution of generalized Ait-Sahalia-type interest rate model. We show that if r ? 2ρ ? 1, then the generalized Ait-Sahalia interest rate model has a unique stationary distribution and if r < 2ρ ? 1, then the generalized Ait-Sahalia interest rate model is recurrent relative to the domain (0, ?), for any ? > 0. Besides, some recursion formulas for the stationary distribution are presented. Finally, some numerical simulations are used to illustrate our results. |
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| Keywords: | Ait-Sahalia-type interest rate model ergodicity stationary distribution |
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