A Diffusion Model for Growth Stocks

DOI10.1287/moor.1030.0071zbMath1082.60067OpenAlexW2159477109MaRDI QIDQ5704167

S. G. Kou, S. C. Kou

Publication date: 11 November 2005

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.1030.0071

zbMATH Keywords

weak convergencesteady-state distributiondecay rateregressionpower lawFeller processCIR model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Boundary theory for Markov processes (60J50)

Related Items

Transition probability, dynamic regimes, and the critical point of financial crisis ⋮ Stochastic modelling of air pollution impacts on respiratory infection risk ⋮ Mathematical analysis of a credit default swap with counterparty risks ⋮ The spectral representation of Bessel processes with constant drift: applications in queueing and finance ⋮ A simple trinomial lattice approach for the skew-extended CIR models ⋮ A Multiresolution Method for Parameter Estimation of Diffusion Processes ⋮ Economies-of-Scale in Many-Server Queueing Systems: Tutorial and Partial Review of the QED Halfin--Whitt Heavy-Traffic Regime