Explosion Tests for Stochastic Integral Equations Related to Interest Rate Models

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J. Math. Sci. Univ. Tokyo
Vol. 5 (1998), No. 4, Page 727--745.

Akahori, JirÃ´
Explosion Tests for Stochastic Integral Equations Related to Interest Rate Models
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Abstract:
In the present paper a class of stochastic integral equations is studied. It is closely related to the interest rate model proposed by Ritchken and Sankarasubramanian [8] [9]. Explosion tests for these equations are given.

Keywords: term structure, interest rate, martingales, stochastic integral equation, explosion

Mathematics Subject Classification (1991): 60H20, 90A09

Mathematical Reviews Number: MR1675245

Received: 1998-05-01

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