Yet more on a stochastic economic model: Part 3A: stochastic interpolation: Brownian and Ornstein–Uhlenbeck (OU) bridges

A. D. Wilkie and Şule Şahin

Annals of Actuarial Science, 2017, vol. 11, issue 1, 74-99

Abstract: In this paper, we develop certain properties for discrete Brownian bridges and Ornstein–Uhlenbeck bridges, which we use in the successor papers Part 3B and Part 3C to analyse real economic data series, with a view to constructing stochastic interpolation models for the Wilkie asset model.

Date: 2017
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