"A discrete-time model that weakly converges to a continuous-time geometric ..."

Vitaliy Golomoziy, Yuliya Mishura, Kamil Kladívko (2024)

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DOI: 10.3389/FAMS.2024.1450581

access: open

type: Journal Article

metadata version: 2024-11-22

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Vitaliy Golomoziy, Yuliya Mishura, Kamil Kladívko:
A discrete-time model that weakly converges to a continuous-time geometric Brownian motion with Markov switching drift rate. Frontiers Appl. Math. Stat. 10 (2024)

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