Markov-modulated geometric Brownian motion and Bollinger bands

zbMATH Open1150.60420MaRDI QIDQ3516636FDOQ3516636

Xudong Huang, Wei Liu

Publication date: 6 August 2008

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zbMATH Keywords

geometric Brownian motionstationary processMarkov-modulatedBollinger band

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Brownian motion (60J65)

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