Applications of a formula for the variance function of a stochastic process

DOI10.1016/S0167-7152(98)00198-9zbMath0931.60063OpenAlexW2076719471MaRDI QIDQ1293835

Edsel A. Peña, Kenneth L. Lange, Ru-Zong Fan

Publication date: 28 February 2000

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(98)00198-9

zbMATH Keywords

stochastic processvarianceItô's formula

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60)

Related Items

Compound Markov counting processes and their applications to modeling infinitesimally over-dispersed systems

Cites Work

• Stochastic differential equations. An introduction with applications.
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