Displaying similar documents to “On certain Markov processes attached to exponential functionals of Brownian motion: application to Asian options.”

Non-symmetric hitting distributions on the hyperbolic half-plane and subordinated perpetuities.

Paolo Baldi, Enrico Casadio Tarabusi, Alessandro Figà-Talamanca, Marc Yor (2001)

Revista Matemática Iberoamericana

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We study the law of functionals whose prototype is ∫0 +∞ eBs (ν) dWs (μ), where B(ν) and W(μ) are independent Brownian motions with drift. These functionals appear naturally in risk theory as well as in the study of in variant diffusions...

Calculating the variance in Markov-processes with random reward.

Francisco Benito (1982)

Trabajos de Estadística e Investigación Operativa

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In this article we present a generalization of Markov Decision Processes with discreet time where the immediate rewards in every period are not deterministic but random, with the two first moments of the distribution given. Formulas are developed to calculate the expected value and the variance of the reward of the process, formulas which generalize and partially correct other results. We make some observations about the distribution of rewards for processes with limited...

Modelling stock returns with AR-GARCH processes.

Elzbieta Ferenstein, Miroslaw Gasowski (2004)

SORT

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Financial returns are often modelled as autoregressive time series with random disturbances having conditional heteroscedastic variances, especially with GARCH type processes. GARCH processes have been intensely studied in financial and econometric literature as risk models of many financial time series. Analyzing two data sets of stock prices we try to fit AR(1) processes with GARCH or EGARCH errors to the log returns. Moreover, hyperbolic or generalized error distributions occur to...