Fourth Edition of the International Conference on Research in Applied Mathematics and Computer Science ICRAMCS 2022
 March 24-25-26, 2022
Online and Face-to-Face Conference

ICRAMCS, 4 (2022) | Proceedings ISSN: 2605-7700

Research Communication | Open Access
Volume 2022 | Communication ID 432
A non-homogeneous Vasicek diffusion model wih time depending in the speed mean reversion factor
Nadia Makhlouki, Ahmed Nafidi
Academic Editor: Youssef EL FOUTAYENI
Received
Accepted
Published
January 31, 2022
March 03, 2364
April 15, 2364

Abstract: The Vasicek stochastic model and its diverse extensions (the homogeneous and non-homogeneous cases) play an important role in modelling significant problems in the field of stochastic economics and finance, and especially in that of models of the short-term interest rate. This work aims to study a new stochastic model, based on a Vasicek non-homogeneous diffusion process, in which in the drift coefficient, the speed of mean reversion factor depends on deterministic time function. From the corresponding Itô stochastic differential equation, we obtain the probabilistic characteristics of the ...