An Approach to Wealth Modelling

Stoynov, Pavel. "An Approach to Wealth Modelling." Serdica Mathematical Journal 29.3 (2003): 195-224. <http://eudml.org/doc/219521>.

@article{Stoynov2003,
abstract = {2000 Mathematics Subject Classification: 60G48, 60G20, 60G15, 60G17. JEL Classification: G10The change in the wealth of a market agent (an investor, a company, a bank etc.) in an economy is a popular topic in finance. In this paper, we propose a general stochastic model describing the wealth process and give some of its properties and special cases. A result regarding the probability of default within the framework of the model is also offered.},
author = {Stoynov, Pavel},
journal = {Serdica Mathematical Journal},
keywords = {Wealth Motion Models; Generalized Lévy Process; Brownian Motion with Returns to Zero; Wealth Motion Model; Generalized Lévy process},
language = {eng},
number = {3},
pages = {195-224},
publisher = {Institute of Mathematics and Informatics Bulgarian Academy of Sciences},
title = {An Approach to Wealth Modelling},
url = {http://eudml.org/doc/219521},
volume = {29},
year = {2003},
}

TY - JOUR
AU - Stoynov, Pavel
TI - An Approach to Wealth Modelling
JO - Serdica Mathematical Journal
PY - 2003
PB - Institute of Mathematics and Informatics Bulgarian Academy of Sciences
VL - 29
IS - 3
SP - 195
EP - 224
AB - 2000 Mathematics Subject Classification: 60G48, 60G20, 60G15, 60G17. JEL Classification: G10The change in the wealth of a market agent (an investor, a company, a bank etc.) in an economy is a popular topic in finance. In this paper, we propose a general stochastic model describing the wealth process and give some of its properties and special cases. A result regarding the probability of default within the framework of the model is also offered.
LA - eng
KW - Wealth Motion Models; Generalized Lévy Process; Brownian Motion with Returns to Zero; Wealth Motion Model; Generalized Lévy process
UR - http://eudml.org/doc/219521
ER -