Essays about: "Lacus"

Found 1 essay containing the word Lacus.

  1. 1. Change Point Estimation for Stochastic Differential Equations

    University essay from Matematiska och systemtekniska institutionen

    Author : Hatice Yalman; [2009]
    Keywords : Brownian motion; stochastic differential equations; Ornstein-Uhlenbeck; change points; estimates; simulations; closings; returns; Dow-Jones; Goldman-Sachs;

    Abstract : 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. READ MORE