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
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Englisch
- Bibliographic citation
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Series: SFB 373 Discussion Paper ; No. 1999,59
- Classification
-
Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Butucea, Cristina
Nussbaum, Michael
- Event
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Veröffentlichung
- (who)
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Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (where)
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Berlin
- (when)
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1999
- Handle
- URN
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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
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