Density of generalized Verhulst process and Bessel process with constant drift

DOI10.1007/S10986-016-9329-9MaRDI QIDQ507027zbMATH OpenOpenAlexFDO

Authors Yong-Cai Geng, Sumit K. Garg

Publication date 3 February 2017

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-016-9329-9

zbMATH Keywords

Bessel process with constant driftexponential change of measuregeometric Brownian motionVerhulst process

Mathematics Subject Classification ID

Foundations of stochastic processes (60G05) Brownian motion (60J65)

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Cited in

(3)

• An integral representation of elasticity and sensitivity for stochastic volatility models
• Independent factorization of the last zero arcsine law for Bessel processes with drift
• On the distribution of verhulst process

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