期刊论文、会议论文

Tian, Tianhai

英文

DISCRETE AND CONTINUOUS DYNAMICAL SYSTEMS-SERIES B

1531-3492

2017

22

1

101-113

2nd International Conference on Optimization and Control (ICOCO)

DEC 07-09, 2015

Chongqing, PEOPLES R CHINA

[Jiang, Feng] Zhongnan Univ Econ & Law, Sch Math & Stat, Wuhan 430073, Peoples R China.^[Yang, Hua] Wuhan Polytech Univ, Sch Math & Comp Sci, Wuhan 430023, Peoples R China.^[Tian, Tianhai] Monash Univ, Sch Math Sci, Melbourne, Vic 3800, Australia.

Chongqing Normal Univ, Operat Res Soc Chongqing

PO BOX 2604, SPRINGFIELD, MO 65801-2604 USA

AMER INST MATHEMATICAL SCIENCES-AIMS

10.3934/dcdsb.2017005

The work is supported by the National Natural Science Foundation of China (61304067 and 11571368), the Natural Science Foundation of Hubei Province of China (2013CFB443) and the Australian Research Council Future Fellowship (FT100100748).

本校为其他机构

The Ait-Sahalia-Rho model is an important tool to study a number of financial problems, including the term structure of interest rate. However, since the functions of this model do not satisfy the linear growth condition, we cannot study the properties for the solution of this model by using the traditional techniques. In this paper we overcome the mathematical difficulties due to the nonlinear growth condition by using numerical simulation. Thus we first discuss analytical properties of the model and the convergence property of numerical solutions in probability for the Ait-Sahalia-Rho model....