Solutions of stochastic differential equations obeying the law of the iterated logarithm, with applications to financial markets

DOI10.1214/EJP.V14-642zbMath1191.60069OpenAlexW2087273164MaRDI QIDQ1039131

John A. D. Appleby, Huizhong Wu

Publication date: 20 November 2009

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/227247

zbMATH Keywords

Brownian motionstochastic differential equationslaw of the iterated logarithmstationary processesinefficient marketMotoo's theoremstochastic comparison principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Large deviations (60F10) Financial applications of other theories (91G80)

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