The randomly stopped geometric Brownian motion

DOI10.1016/J.SPL.2014.03.013zbMath1296.60219OpenAlexW2024550006MaRDI QIDQ2453926

Eugenio P. Balanzario, Rosalva Mendoza Ramírez, Jorge Sanchez Ortiz

Publication date: 11 June 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.03.013

zbMATH Keywords

heavy tailspower lawsZipf law

Mathematics Subject Classification ID

Brownian motion (60J65)

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Cites Work

• Stochastic calculus for finance. II: Continuous-time models.
• Time Changes for Lévy Processes
• Mathematics 1868–2008: a bibliometric analysis
• Lévy Processes and Stochastic Calculus
• From the central limit theorem to heavy-tailed distributions
• The Variance Gamma Process and Option Pricing
• The Pareto, Zipf and other power laws
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