Inference in a Non-Homogeneous Vasicek Type Model

DOI10.1007/978-3-319-89824-7_3zbMath1397.62497OpenAlexW2884099326MaRDI QIDQ4689042

Giuseppina Albano, Virginia Giorno

Publication date: 12 October 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-89824-7_3

zbMATH Keywords

conditional momentsestimation procedurenon-homogeneous diffusion

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

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