Extensions of Black-Scholes processes and Benford's law

DOI10.1016/j.spa.2007.07.017zbMath1152.60027OpenAlexW2066118646MaRDI QIDQ939395

Klaus Schürger

Publication date: 22 August 2008

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.07.017

zbMATH Keywords

Brownian motionlarge deviationsoccupation timeBenford's lawstrong theoremsgeometric Brownian motionsPoisson's summation formulaAzuma's inequalityexponential local martingalesleading digitsnon-parametric hypothesis testing for processes.Significant digitsweak theorems

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Central limit and other weak theorems (60F05) Characteristic functions; other transforms (60E10) Strong limit theorems (60F15) Martingales with continuous parameter (60G44) Large deviations (60F10) Non-Markovian processes: hypothesis testing (62M07) Normal numbers, radix expansions, Pisot numbers, Salem numbers, good lattice points, etc. (11K16)

Related Items (5)

A characterization of Benford's law in discrete-time linear systems ⋮ A basic theory of Benford's law ⋮ A LIMIT THEOREM FOR OCCUPATION MEASURES OF LÉVY PROCESSES IN COMPACT GROUPS ⋮ Generalizing Benford's law using power laws: application to integer sequences ⋮ Most linear flows on \(\mathbb{R}^d\) are Benford

Cites Work

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• Benford's law, values of L-functions and the 3x+1 problem
• The First Digit Problem
• Base-Invariance Implies Benford's Law
• One-dimensional dynamical systems and Benford’s law
• The Significant-Digit Phenomenon
• On the Decomposition of Continuous Submartingales
• ON CONTINUOUS MARTINGALES

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