Article ID Journal Published Year Pages File Type
1151638 Statistics & Probability Letters 2016 7 Pages PDF
Abstract

In this paper we consider a generalized Ait-Sahalia interest rate model. We first extend the space of admissible parameters that ensures the existence of a unique positive solution to the model. Then, we provide an explicit estimate for tail probabilities of solutions.

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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
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