Central limit theorem and moderate deviation principle for CKLS model with small random perturbation. (English) Zbl 1310.60018
Summary: In this paper, we study the asymptotic behavior of the randomly perturbed Chan-Karolyi-Longstaff-Sanders (CKLS) model with small parameter \(\sqrt{\varepsilon}\). When \(\varepsilon \to 0\), the central limit theorem and moderate deviation principle for the solution of the randomly perturbed CKLS model are obtained.
MSC:
| 60F05 | Central limit and other weak theorems |
| 60F99 | Limit theorems in probability theory |
| 60F10 | Large deviations |
| 60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
References:
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