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

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  • Wilkie, A. D.
  • Şahin, Şule

Abstract

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.

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  • Wilkie, A. D. & Şahin, Şule, 2017. "Yet more on a stochastic economic model: Part 3A: stochastic interpolation: Brownian and Ornstein–Uhlenbeck (OU) bridges," Annals of Actuarial Science, Cambridge University Press, vol. 11(1), pages 74-99, March.
    • Handle: RePEc:cup:anacsi:v:11:y:2017:i:01:p:74-99_00
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    Cited by:

    1. c{S}ule c{S}ahin & Shaun Levitan, 2019. "A Stochastic Investment Model for Actuarial Use in South Africa," Papers 1912.12113, arXiv.org, revised Jan 2021.

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