On the non-equilibrium density of geometric mean reversion

DOI10.1016/j.spl.2009.12.017zbMath1189.62015OpenAlexW3121476267MaRDI QIDQ962018

Christian-Oliver Ewald, Zhaojun Yang

Publication date: 1 April 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2009.12.017

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Exact distribution theory in statistics (62E15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Cites Work

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• Investment under alternative return assumptions
• Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
• On some exponential functionals of Brownian motion
• An Asymptotic Theory of Growth Under Uncertainty
• The return on investment from proportional portfolio strategies
• A new technique for calibrating stochastic volatility models: the Malliavin gradient method
• Diffusion Processes in One Dimension

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