论文标题
关于广义粗糙AIT-Sahalia利率模型的分析
On the Analysis of a Generalised Rough Ait-Sahalia Interest Rate Model
论文作者
论文摘要
例如，用赫斯特参数$ h <\ frac {1} {2} $的分数布朗运动被广泛使用，以描述财务中的“粗糙”随机波动过程。在本文中，我们研究了由$ H <\ frac {1} {2} $驱动的AIT-Sahalia型利率模型，并建立了理论属性，并建立了诸如生存和唯一性的定理，在Malliavin不同的能力和更高的强度解决方案时期的规律性。
Fractional Brownian motion with the Hurst parameter $H<\frac{1}{2}$ is used widely, for instance, to describe a 'rough' stochastic volatility process in finance. In this paper, we examine an Ait-Sahalia-type interest rate model driven by a fractional Brownian motion with $H<\frac{1}{2}$ and establish theoretical properties such as an existence-and-uniqueness theorem, regularity in the sense of Malliavin differentiability and higher moments of the strong solutions.
