Inference and first-passage-times for the lognormal diffusion process with exogenous factors: application to modelling in economics

DOI<link itemprop=identifier href="https://doi.org/10.1002/(SICI)1526-4025(199910/12)15:4<325::AID-ASMB397>3.0.CO;2-F" /><325::AID-ASMB397>3.0.CO;2-F 10.1002/(SICI)1526-4025(199910/12)15:4<325::AID-ASMB397>3.0.CO;2-FzbMath0968.60067OpenAlexW1993985508MaRDI QIDQ2711702

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Publication date: 25 April 2001

Full work available at URL: https://doi.org/10.1002/(sici)1526-4025(199910/12)15:4<325::aid-asmb397>3.0.co;2-f

zbMATH Keywords

first-passage times lognormal diffusion process ~exogenous factors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)

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