On the non-equilibrium density of geometric mean reversion (Q962018): Difference between revisions

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+The return on investment from proportional portfolio strategies
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+Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
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+A new technique for calibrating stochastic volatility models: the Malliavin gradient method
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+Diffusion Processes in One Dimension
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+Q4039796
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+Q4237078
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+An Asymptotic Theory of Growth Under Uncertainty
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+Investment under alternative return assumptions
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+On some exponential functionals of Brownian motion
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