Geometric Brownian motion and Ornstein-Uhlenbeck process modeling banks' deposits

MaRDI QIDQ5090702FDOQ5090702

Authors: Elena Cristina Canepa, Cristina Şerbănescu 

Publication date: 20 July 2022

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zbMATH Keywords

Ornstein-Uhlenbeck processcalibrationgeometric Brownian motionstochastic controlKolmogorov-Smirnov testbanks' deposits

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic models in economics (91B70) Actuarial science and mathematical finance (91G99)

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