On the non-equilibrium density of geometric mean reversion
The geometric mean reversion process X([dot operator]) is well known to play a fundamental role in economic dynamic models. While it is known, at least since Merton (1975), that the equilibrium distribution of geometric mean reversion, i.e. the distribution of X([infinity]), is a gamma distribution, an explicit expression for the non-equilibrium distribution, i.e. the distribution of X(t) for t<[infinity], has not been known. The main result of this article is an analytic formula which computes the probability density function of X(t).
Year of publication: |
2010
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Authors: | Yang, Zhaojun ; Ewald, Christian-Oliver |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 7-8, p. 608-611
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Publisher: |
Elsevier |
Saved in:
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