A bivariate homogeneous stochastic Vasicek diffusion process

MaRDI QIDQ2827623zbMATH OpenFDO

Authors A. Nafidi, Ramón Gutiérrez, R. Gutiérrez-Sánchez

Publication date 20 October 2016

zbMATH Keywords

diffusion processhomogeneous Vasicek modellikelihood estimationmatrix differential calculusstochastic differential equationtrend functions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Markov processes: estimation; hidden Markov models (62M05)

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Cited in

(1)

• A bivariate markov process with diffusion and discrete components

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