Work

On the Analysis of a Generalised Mean-Reverting Stochastic Model with Two Uncorrelated Brownian Motions

Year: 2025

Type: article

Abstract: We introduce a highly sensitive mean-reverting stochastic model under the influence of two uncorrelated Brownian motions. However, due to its structural complexity and analytical intractability, we develop new mathematical techniques to investigate into the properties of the true and numerical solutions. Moreover, we show that, for a sufficiently small step size, the numerical solutions converge to the true solution in probability. Finally, we provide numerical demonstrations to support the theoretical findings.

Source: Methodology And Computing In Applied Probability

DOI: 10.1007/s11009-025-10149-7

Author: Emmanuel Coffie

Institution: University of Liverpool

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $3,290

Funders: UK Research and Innovation, Engineering and Physical Sciences Research Council, Division of Mathematical Sciences