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

Wilkie A. D., ŞAHİN Ş.

ANNALS OF ACTUARIAL SCIENCE, cilt.11, sa.1, ss.74-99, 2017 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 11 Sayı: 1
  • Basım Tarihi: 2017
  • Doi Numarası: 10.1017/s1748499516000208
  • Dergi Adı: ANNALS OF ACTUARIAL SCIENCE
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus, ABI/INFORM, EconLit
  • Sayfa Sayıları: ss.74-99
  • Hacettepe Üniversitesi Adresli: Evet

Özet

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.