AbstractThis paper presents a continuous time version of a stochastic investment model originally due to Wilkie. The model is constructed via stochastic differential equations. Explicit distributions are obtained in the case where the SDEs are driven by Brownian motion, which is the continuous time analogue of the time series with white noise residuals considered by Wilkie. In addition, the cases where the driving “noise” are stable processes and Gamma processes are considered.
Supplementary material to "Identification of spikes associated with local sources in continuous time series of atmospheric CO, CO<sub>2</sub> and CH<sub>4</sub>"