On the non-equilibrium density of geometric mean reversion
From MaRDI portal
Publication:962018
DOI10.1016/j.spl.2009.12.017zbMath1189.62015MaRDI QIDQ962018
Christian-Oliver Ewald, Zhaojun Yang
Publication date: 1 April 2010
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2009.12.017
62P20: Applications of statistics to economics
62E15: Exact distribution theory in statistics
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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