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Controlled Ornstein-Uhlenbeck process with chance constraints

✍ Scribed by N. Christopeit; K. Helmes


Book ID
105009952
Publisher
Springer
Year
1979
Tongue
English
Weight
533 KB
Volume
28
Category
Article
ISSN
0022-3239

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✍ Gyula Pap; Martien C.A. van Zuijlen 📂 Article 📅 1996 🏛 Elsevier Science 🌐 English ⚖ 619 KB

It is shown that the suitably normalized maximum likelihood estimators of some parameters of multidimensional Ornstein Uhlenbeck processes with coefficient matrix of a special structure have exactly a normal distribution. This result provides a generalization to an arbitrary dimension of the well-kn