Arbeitspapier
Asymptotic equivalence of discretely observed geometric Brownian motion to a Gaussian shift
Financial models consider often stochastic processes satisfying certain differential equations. We show that the solution of a particular geometric Brownian motion observed in discrete time is asymptotically equivalent with a Gaussian white noise model.
- Language
-
Englisch
- Bibliographic citation
-
Series: SFB 373 Discussion Paper ; No. 1999,59
- Classification
-
Wirtschaft
- Event
-
Geistige Schöpfung
- (who)
-
Butucea, Cristina
Nussbaum, Michael
- Event
-
Veröffentlichung
- (who)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (where)
-
Berlin
- (when)
-
1999
- Handle
- URN
-
urn:nbn:de:kobv:11-10046497
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Butucea, Cristina
- Nussbaum, Michael
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Time of origin
- 1999
Other Objects (12)
Asymptotic equivalence of discretely observed geometric Brownian motion to a Gaussian shift
Constructive asymptotic equivalence of density estimation and Gaussian white noise
Constructive Asymptotic Equivalence of Density Estimation and Gaussian White Noise
Linear maps preserving equivalence or asymptotic equivalence on Banach space
Affine-periodic solutions by asymptotic and homotopy equivalence
Asymptotic Equivalence of Differential Equation in Banach Space
Brownian Loops, Layering Fields and Imaginary Gaussian Multiplicative Chaos
Asymptotic Behavior of Large Gaussian Correlated Wishart Matrices
Bulk-boundary asymptotic equivalence of two strict deformation quantizations
Relative asymptotic equivalence of dynamic equations on time scales
Colossal Brownian yet non-Gaussian diffusion induced by nonequilibrium noise
3/4 Equivalence of Liouville quantum gravity and the Brownian map
Asymptotic equivalence of discretely observed geometric Brownian motion to a Gaussian shift
Constructive asymptotic equivalence of density estimation and Gaussian white noise
Constructive Asymptotic Equivalence of Density Estimation and Gaussian White Noise
Linear maps preserving equivalence or asymptotic equivalence on Banach space
Affine-periodic solutions by asymptotic and homotopy equivalence
Asymptotic Equivalence of Differential Equation in Banach Space
Brownian Loops, Layering Fields and Imaginary Gaussian Multiplicative Chaos
Asymptotic Behavior of Large Gaussian Correlated Wishart Matrices
Bulk-boundary asymptotic equivalence of two strict deformation quantizations
Relative asymptotic equivalence of dynamic equations on time scales
Colossal Brownian yet non-Gaussian diffusion induced by nonequilibrium noise
3/4 Equivalence of Liouville quantum gravity and the Brownian map
Asymptotic equivalence of discretely observed geometric Brownian motion to a Gaussian shift
Constructive asymptotic equivalence of density estimation and Gaussian white noise
Constructive Asymptotic Equivalence of Density Estimation and Gaussian White Noise
Linear maps preserving equivalence or asymptotic equivalence on Banach space
Affine-periodic solutions by asymptotic and homotopy equivalence
Asymptotic Equivalence of Differential Equation in Banach Space
Brownian Loops, Layering Fields and Imaginary Gaussian Multiplicative Chaos
Asymptotic Behavior of Large Gaussian Correlated Wishart Matrices
Bulk-boundary asymptotic equivalence of two strict deformation quantizations
Relative asymptotic equivalence of dynamic equations on time scales
Colossal Brownian yet non-Gaussian diffusion induced by nonequilibrium noise