A stochastic differential equationdriven by a Brownian motion where the dispersion is determined by a parameter is considered. The parameter undergoes a change at a certain time point. Estimates of the time change point and the parameter, before and after that time, is considered.The estimates were presented in Lacus 2008. Two cases are considered: (1) the drift is known, (2) the drift is unknown and the dispersion space-independent. Applications to Dow-Jones index 1971-1974 and Goldmann-Sachs closings 2005-- May 2009 are given.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:vxu-5748 |
| Date | January 2009 |
| Creators | Yalman, Hatice |
| Publisher | Växjö universitet, Matematiska och systemtekniska institutionen |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | Rapporter från MSI, 1650-2647 ; 09019 |
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