Ergodic Property of the Brownian Motion Process

DOI10.1073/PNAS.40.12.1155MaRDI QIDQ5829367zbMATH OpenOpenAlexWikidataFDO

Authors Cyrus Derman

Publication date 1954

Published in Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1073/pnas.40.12.1155

zbMATH Keywords

Probability theory

Cited in

(5)

• A limit theorem for occupation measures of Lévy processes in compact groups
• TARGET VOLATILITY OPTION PRICING
• Ergodic properties of Brownian Motion
• On the life and work of Cyrus Derman
• Pricing digital outperformance options with uncertain correlation

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