Generalized Ornstein–Uhlenbeck process by Doob’s theorem and the time evolution of financial prices
Year of publication: |
2013
|
---|---|
Authors: | Fonseca, Regina C.B. da ; Figueiredo, Annibal ; Castro, Márcio T. de ; Mendes, Fábio M. |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 392.2013, 7, p. 1671-1680
|
Publisher: |
Elsevier |
Subject: | Ornstein–Uhlenbeck process | Transition probability | Doob’s theorem | Characteristic function | Stock market |
-
Chang, Kuang-Liang, (2021)
-
Bertram's pairs trading strategy with bounded risk
Holý, Vladimír, (2022)
-
Mehrdoust, Farshied, (2020)
- More ...
-
Fractal structure in the Chinese yuan/US dollar rate
Matsushita, Raul, (2003)
-
Matsushita, Raul, (2005)
-
Fractal structure in the Chinese yuan/US dollar rate
Silva, Sergio Da, (2003)
- More ...