Geometric Brownian Motion Based on Stochastic Differential Equation Modeling Considering the Change Point Estimation for the Fluctuation of the Turkish Lira Against the US Dollar

Geometric Brownian Motion Based on Stochastic Differential Equation Modeling Considering the Change Point Estimation for the Fluctuation of the Turkish Lira Against the US Dollar

In this study, the data showing the fluctuation of the Turkish Lira (TL) against the US Dollar (USD) between 19.06.2017 and 19.06.2022 were examined with Geometric Brownian Motion Stochastic Differential Equation Modeling (GBM SDEM). The study aims to get the GBM stochastic differential equation tha...

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Bibliographic Details
Main Authors: Nihal İnce, Fevzi Erdoğan, Sevda Ozdemır Calikusu
Format: Article
Language:English
Published: Mahmut Akyigit 2025-06-01
Series:Journal of Mathematical Sciences and Modelling
Subjects:
change point estimation
euler-maruyama approximation method
geometric brownian motion
itô stochastic differential equation
maximum likelihood estimation method
Online Access:https://dergipark.org.tr/en/download/article-file/4623757
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