Strongly consistent estimation of all parameters in the Vasicek model by discrete observations

DOI10.17721/1812-5409.2022/4.3zbMath1524.60147OpenAlexW4385323331MaRDI QIDQ6112810

Unnamed Author, Kostiantyn Ralchenko

Publication date: 10 July 2023

Published in: Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17721/1812-5409.2022/4.3

zbMATH Keywords

stochastic differential equationinterest rate modelergodic theoremlow-frequency data

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Financial markets (91G15)

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