The probability distribution of returns in the exponential Ornstein–Uhlenbeck model

DOI10.1088/1742-5468/2008/11/P11013zbMath1456.91127arXiv0805.0540OpenAlexW3099656275MaRDI QIDQ5239449

Oreste Nicrosini, Guido Montagna, V. Cazzola, Giacomo Bormetti

Publication date: 22 October 2019

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.0540

zbMATH Keywords

stochastic processesmodels of financial markets

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Stochastic models in economics (91B70) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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