Displaying similar documents to “Log-optimal investment in the long run with proportional transaction costs when using shadow prices”

Normality assumption for the log-return of the stock prices

Pedro P. Mota (2012)

Discussiones Mathematicae Probability and Statistics

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The normality of the log-returns for the price of the stocks is one of the most important assumptions in mathematical finance. Usually is assumed that the price dynamics of the stocks are driven by geometric Brownian motion and, in that case, the log-return of the prices are independent and normally distributed. For instance, for the Black-Scholes model and for the Black-Scholes pricing formula [4] this is one of the main assumptions. In this paper we will investigate if this assumption...

Regularity of irregularities on a brownian path

Samuel James Taylor (1974)

Annales de l'institut Fourier

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On a standard Brownian motion path there are points where the local behaviour is different from the pattern which occurs at a fixed t 0 with probability 1. This paper is a survey of recent results which quantity the extent of the irregularities and show that the exceptional points themselves occur in an extremely regular manner.

On the control of the difference between two Brownian motions: an application to energy markets modeling

Thomas Deschatre (2016)

Dependence Modeling

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We derive a model based on the structure of dependence between a Brownian motion and its reflection according to a barrier. The structure of dependence presents two states of correlation: one of comonotonicity with a positive correlation and one of countermonotonicity with a negative correlation. This model of dependence between two Brownian motions B1 and B2 allows for the value of [...] to be higher than 1/2 when x is close to 0, which is not the case when the dependence is modeled...