Yang, Zhaojun; Ewald, Christian-Oliver - In: Statistics & Probability Letters 80 (2010) 7-8, pp. 608-611
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...