Discretely Observed Brownian Motion Governed by Telegraph Process: Estimation
Volume: 21, Issue: 3, Pages: 907 - 920
Published: Feb 2, 2017
Abstract
A Brownian motion whose infinitesimal variance alternates according to a telegraph process is considered. This stochastic process can be employed to model a variety of real-word situations, such as animal movement in ecology and stochastic volatility in mathematical finance. The main goal is to develop an estimation procedure for the underlying model parameters when the process is observed at discrete, possibly irregularly spaced time points....
Paper Details
Title
Discretely Observed Brownian Motion Governed by Telegraph Process: Estimation
Published Date
Feb 2, 2017
Volume
21
Issue
3
Pages
907 - 920
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