The misconception of mean-reversion

DOI10.1088/1751-8113/45/33/332001zbMath1259.82076OpenAlexW2066714525MaRDI QIDQ2911003

Morrel H. Cohen, Iddo I. Eliazar

Publication date: 12 September 2012

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1751-8113/45/33/332001

zbMATH Keywords

Fokker-Planck equationOrnstein-Uhlenbeck processLangevin dynamicsdiffusion dynamicsLangevin stochastic differential equationeconomics and finance

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Diffusion processes (60J60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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