Drift estimation for a class of generalized Ornstein-Uhlenbeck process with fluctuating exponential trend
Author:
Affiliation:
1. Departamento de Estatística, Universidade de Brasília, Brasília-DF, Brazil
2. Departamento de Matemática, Universidade de Brasília, Brasília-DF, Brazil
Funder
Coordenação de Aperfeiçoamento de Pessoal de Nível Superior
Conselho Nacional de Desenvolvimento Científico e Tecnológico
Publisher
Informa UK Limited
Subject
Modeling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610918.2023.2275245
Reference14 articles.
1. Alcântara W. R. 2019. Uma Nova Classe de Soluções da Equação de Langevin Generalizada e sua Aplicação na Modelagem do Cupom Cambial (in portuguese). PhD thesis. Department of Mathematics Universidade de Brasilia Brasilia-DF Brazil.
2. Applebaum, D. 2009. Lévy processes and stochastic calculus. 2nd ed. Cambridge Studies in Advanced Mathematics 116. New York: Cambridge University Press.
3. Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
4. Jump filtering and efficient drift estimation for Lévy-driven SDEs
5. Limit Theorems for Stochastic Processes
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