Random coefficient continuous systems: Testing for extreme sample path behaviour
This paper studies a continuous time dynamic system with a random persistence parameter. The exact discrete time representation is obtained and related to several discrete time random coefficient models currently in the literature. The model distinguishes various forms of unstable and explosive beha...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2017
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2115 https://ink.library.smu.edu.sg/context/soe_research/article/3115/viewcontent/Double_Asymptotics_for_OU_process_in_a_random_environment19_.pdf |
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| Institution: | Singapore Management University |
| Language: | English |