Density of generalized Verhulst process and Bessel process with constant drift

DOI10.1007/s10986-016-9329-9zbMath1376.60056OpenAlexW3121537599MaRDI QIDQ507027

Yong-Cai Geng, Sumit K. Garg

Publication date: 3 February 2017

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-016-9329-9

zbMATH Keywords

geometric Brownian motionexponential change of measureBessel process with constant driftVerhulst process

Mathematics Subject Classification ID

Brownian motion (60J65) Foundations of stochastic processes (60G05)

Related Items (1)

An integral representation of elasticity and sensitivity for stochastic volatility models

Cites Work

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