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

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.

Bibliographic Details

Published in:	Annals of actuarial science 2017-03, Vol.11 (1), p.74-99
Main Authors:	Wilkie, A. D., Şahin, Şule
Format:	Article
Language:	eng
Subjects:	Algebra Brownian movements Economic models Expected values Stochastic models Studies Values
Online Access:	Get full text
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