Yet more on a stochastic economic model: Part 3A: stochastic interpolation: Brownian and Ornstein–Uhlenbeck (OU) bridges-Reference-Cited by-同舟云学术

Yet more on a stochastic economic model: Part 3A: stochastic interpolation: Brownian and Ornstein–Uhlenbeck (OU) bridges

Published:2016-11-15 Issue:1 Volume:11 Page:74-99
ISSN:1748-4995
Container-title:Annals of Actuarial Science
language:en
Short-container-title:Ann. actuar. sci.

Author:

Wilkie A. D.,Şahin Şule

Abstract

AbstractIn this paper, we develop certain properties for discrete Brownian bridges and Ornstein–Uhlenbeck bridges, which we use in the successor papers Part 3B and Part 3C to analyse real economic data series, with a view to constructing stochastic interpolation models for the Wilkie asset model.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

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