Appleby, John A.D., and Wu, Huizhong. "Solutions of stochastic differential equations obeying the law of the iterated logarithm, with applications to financial markets.." Electronic Journal of Probability [electronic only] 14 (2009): 912-959. <http://eudml.org/doc/227247>.
@article{Appleby2009,
author = {Appleby, John A.D., Wu, Huizhong},
journal = {Electronic Journal of Probability [electronic only]},
keywords = {stochastic differential equations; Brownian motion; law of the iterated logarithm; Motoo's theorem; stochastic comparison principle; stationary processes; inefficient market},
language = {eng},
pages = {912-959},
publisher = {University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham},
title = {Solutions of stochastic differential equations obeying the law of the iterated logarithm, with applications to financial markets.},
url = {http://eudml.org/doc/227247},
volume = {14},
year = {2009},
}
TY - JOUR
AU - Appleby, John A.D.
AU - Wu, Huizhong
TI - Solutions of stochastic differential equations obeying the law of the iterated logarithm, with applications to financial markets.
JO - Electronic Journal of Probability [electronic only]
PY - 2009
PB - University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham
VL - 14
SP - 912
EP - 959
LA - eng
KW - stochastic differential equations; Brownian motion; law of the iterated logarithm; Motoo's theorem; stochastic comparison principle; stationary processes; inefficient market
UR - http://eudml.org/doc/227247
ER -
