The effect of mean reversion on investment under uncertainty
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Publication:951469
DOI10.1016/S0165-1889(02)00181-1zbMath1179.91257OpenAlexW1978475840MaRDI QIDQ951469
Publication date: 24 October 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1889(02)00181-1
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Corporate finance (dividends, real options, etc.) (91G50)
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