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

Published online by Cambridge University Press:  15 November 2016

A. D. Wilkie  and
Şule Şahin
A. D. Wilkie*
Affiliation:
InQA Limited, Dennington, Ridgeway, Horsell, Woking GU21 4QR, UK
Şule Şahin
Affiliation:
Department of Actuarial Sciences, Hacettepe University, 06800 Ankara, Turkey
*
*Correspondence to: A. D. Wilkie, InQA Limited, Dennington, Ridgeway, Horsell, Woking GU21 4QR, UK. Tel: +441483 725984 or 01483 725984; E-mail: david.wilkie@inqa.com
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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.

Keywords

Stochastic interpolationBrownian bridgeOrnstein–Uhlenbeck (OU) bridgeSideways deviationsForwards deviations
Type
Papers
Information
Annals of Actuarial Science , Volume 11 , Issue 1 , March 2017 , pp. 74 - 99
Copyright
© Institute and Faculty of Actuaries 2016 

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