In the paper we propose a stochastic model, based on a Vasicek non-homogeneous diffusion process, in which the trend coefficient and the volatility are deterministic time-dependent functions. The stochastic inference based on discrete sampling in time is established using a methodology based on the moments of the stochastic process. In order to evaluate the goodness of the proposed methodology a simulation study is discussed.

Inference in a Non-Homogeneous Vasicek-type Model

Giuseppina Albano
Membro del Collaboration Group
;
Virginia Giorno
Membro del Collaboration Group
2018

Abstract

In the paper we propose a stochastic model, based on a Vasicek non-homogeneous diffusion process, in which the trend coefficient and the volatility are deterministic time-dependent functions. The stochastic inference based on discrete sampling in time is established using a methodology based on the moments of the stochastic process. In order to evaluate the goodness of the proposed methodology a simulation study is discussed.
978-3-319-89824-7
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11386/4714871
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