DERIVING THE EXACT DISCRETE ANALOG OF A CONTINUOUS TIME SYSTEM
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Publication:2716479
DOI10.1017/S0266466600166071zbMath0984.62095MaRDI QIDQ2716479
Publication date: 13 May 2002
Published in: Econometric Theory (Search for Journal in Brave)
continuous-time modelrandom measuresflow variablesstock variablesvector autoregressive moving averageexact discrete modelsVARMA-model
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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