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Persistent link: https://www.econbiz.de/10005370656
We use the theory of large deviations to investigate the large time behavior and the small noise asymptotics of random economic processes whose evolutions are governed by mean-reverting stochastic differential equations with (i) constant and (ii) state dependent noise terms. We explicitly show...
Persistent link: https://www.econbiz.de/10005597848