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

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

In 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.

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Veröffentlicht in:Annals of actuarial science 2017-03, Vol.11 (1), p.74-99
Hauptverfasser: Wilkie, A. D., Şahin, Şule
Format: Artikel
Sprache:eng
Schlagworte:
Algebra
Brownian motion
Economic models
Expected values
Stochastic models
Studies
Values
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Beschreibung
Zusammenfassung:In 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.
ISSN:1748-4995
1748-5002
DOI:10.1017/S1748499516000208