Inference in a Non-Homogeneous Vasicek Type Model

DOI10.1007/978-3-319-89824-7_3MaRDI QIDQ4689042zbMATH OpenOpenAlexFDO

Authors Giuseppina Albano, Virginia Giorno

Publication date 12 October 2018

Published in Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-89824-7_3

zbMATH Keywords

conditional momentsestimation procedurenon-homogeneous diffusion

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of statistics to economics (62P20)

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Cites work

• A stochastic model of cancer growth subject to an intermittent treatment with combined effects: reduction in tumor size and rise in growth rate
• Estimating a non-homogeneous Gompertz process with jumps as model of tumor dynamics
• Estimating and determining the effect of a therapy on tumor dynamics by means of a modified Gompertz diffusion process
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Inference on a stochastic two-compartment model in tumor growth
• Stock loan valuation under a stochastic interest rate model

Cited in

(4)

• Statistical inference for Vasicek-type model driven by Hermite processes
• A bivariate homogeneous stochastic Vasicek diffusion process
• Empirical Inference
• INFERENCE IN GOMPERTZ-TYPE NONHOMOGENEOUS STOCHASTIC SYSTEMS BY MEANS OF DISCRETE SAMPLING

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