Processes That Can Be Embedded in a Geometric Brownian Motion
Work
Year: 2016
Type: article
Abstract: The main result of this paper is a counterpart of the theorem of Monroe [Ann. Probab., 6 (1978), pp. 42--56] for a geometric Brownian motion: A process is equivalent to a time change of a geometric Br... more
Authors A. A. Gushchin, Mikhail Urusov
Cites: 27
Cited by: 6
Related to: 10
FWCI: 0.731
Citation percentile (by year/subfield): 85.74
Subfield: Finance
Domain: Social Sciences
Open Access status: green