Qiuyun Shu

A partially time-changed Aït-Sahalia model: well-posedness and moment bounds

A partially time-changed Aït-Sahalia model is proposed, where the driving noise is a sub-diffusion process, also known as a time-changed Brownian motion. We prove that the model admits a unique global positive solution and establish positive and negative moment bounds. Finally, a truncated Euler–Maruyama discretization...