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A note on the inhomogeneous linear stochastic differential equation

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  • Jaschke, Stefan

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  • Jaschke, Stefan, 2003. "A note on the inhomogeneous linear stochastic differential equation," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 461-464, July.
    • Handle: RePEc:eee:insuma:v:32:y:2003:i:3:p:461-464
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    References listed on IDEAS

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    1. Dietz, Hans M., 1992. "A stochastic interest model with an application to insurance," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 301-310, December.
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    Cited by:

    1. Yin, Chuancun & Wen, Yuzhen, 2013. "An extension of Paulsen–Gjessing’s risk model with stochastic return on investments," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 469-476.
    2. Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap, 2015. "Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model," Papers 1509.08869, arXiv.org, revised May 2018.
    3. Behme, Anita & Lindner, Alexander & Maller, Ross, 2011. "Stationary solutions of the stochastic differential equation with Lévy noise," Stochastic Processes and their Applications, Elsevier, vol. 121(1), pages 91-108, January.
    4. Duan, Jinqiao & Yan, Jia-an, 2008. "General matrix-valued inhomogeneous linear stochastic differential equations and applications," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2361-2365, October.
    5. Chuancun Yin & Kam Chuen Yuen, 2014. "Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs," Papers 1409.0407, arXiv.org.

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    1. Moller, Christian Max, 1995. "A counting process approach to stochastic interest," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 181-192, October.

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