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.
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Albano, G., Giorno, V. (2018). Inference in a Non-Homogeneous Vasicek Type Model. In: Corazza, M., Durbán, M., Grané, A., Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-89824-7_3
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DOI: https://doi.org/10.1007/978-3-319-89824-7_3
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