Solutions of stochastic differential equations obeying the law of the iterated logarithm, with applications to financial markets.

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 -