Stochastic Brennan–Schwartz Diffusion Process: Statistical Computation and Application

Stochastic Brennan–Schwartz Diffusion Process: Statistical Computation and Application

In this paper, we study the one-dimensional homogeneous stochastic Brennan−Schwartz diffusion process. This model is a generalization of the homogeneous lognormal diffusion process. What is more, it is used in various contexts of financial mathematics, for example in deriving a numerical m...

Full description

Bibliographic Details
Main Authors: Ahmed Nafidi, Ghizlane Moutabir, Ramón Gutiérrez-Sánchez
Format: Article
Language:English
Published: MDPI AG 2019-11-01
Series:Mathematics
Subjects:
brennan–schwartz diffusion model
stochastic differential equation
inference in diffusion processes
stationary distribution
application
electricity net consumption in morocco
Online Access:https://www.mdpi.com/2227-7390/7/11/1062

Internet

https://www.mdpi.com/2227-7390/7/11/1062

Similar Items