SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions
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Note: In : Stochastic Processes and Their Applications, Vol. 130, no. 7, p. 3895-3919 (2020)
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Other versions of this item:
- Brigo, Damiano & Jeanblanc, Monique & Vrins, Frédéric, 2020. "SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 3895-3919.
- BRIGO, Damiano & JEANBLANC, Monique & VRINS, Frédéric, 2016. "SDEs with Uniform Distributions : Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions," LIDAM Discussion Papers CORE 2016046, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Damiano Brigo & Monique Jeanblanc & Frédéric Vrins, 2019. "SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," LIDAM Reprints CORE 3067, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
References listed on IDEAS
- Brigo, Damiano & Jeanblanc, Monique & Vrins, Frédéric, 2020.
"SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions,"
Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 3895-3919.
- BRIGO, Damiano & JEANBLANC, Monique & VRINS, Frédéric, 2016. "SDEs with Uniform Distributions : Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions," LIDAM Discussion Papers CORE 2016046, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Damiano Brigo & Monique Jeanblanc & Frédéric Vrins, 2019. "SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," LIDAM Reprints CORE 3067, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Brigo, Damiano & Jeanblanc, Monique & Vrins, Frédéric, 2019. "SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," LIDAM Reprints LFIN 2020006, Université catholique de Louvain, Louvain Finance (LFIN).
- Monique Jeanblanc & Frédéric Vrins, 2018.
"Conic martingales from stochastic integrals,"
Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 516-535, April.
- Fr'ed'eric Vrins & Monique Jeanblanc, 2016. "Conic Martingales from Stochastic Integrals," Papers 1603.07488, arXiv.org.
- Monique Jeanblanc & Frédéric Vrins, 2018. "Conic martingales from stochastic integrals," LIDAM Reprints CORE 2942, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Peter Carr, 2017. "Bounded Brownian Motion," Risks, MDPI, vol. 5(4), pages 1-11, November.
- Brigo, Damiano, 2000. "On SDEs with marginal laws evolving in finite-dimensional exponential families," Statistics & Probability Letters, Elsevier, vol. 49(2), pages 127-134, August.
- Damiano Brigo & Fabio Mercurio, 2000. "Option pricing impact of alternative continuous-time dynamics for discretely-observed stock prices," Finance and Stochastics, Springer, vol. 4(2), pages 147-159.
- Christophe Profeta & Frédéric Vrins, 2019.
"Piecewise constant martingales and lazy clocks,"
LIDAM Reprints CORE
2990, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Profeta, Christophe & Vrins, Frédéric, 2019. "Piecewise constant martingales and lazy clocks," LIDAM Reprints LFIN 2019004, Université catholique de Louvain, Louvain Finance (LFIN).
Citations
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Cited by:
- Brigo, Damiano & Jeanblanc, Monique & Vrins, Frédéric, 2020.
"SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions,"
Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 3895-3919.
- BRIGO, Damiano & JEANBLANC, Monique & VRINS, Frédéric, 2016. "SDEs with Uniform Distributions : Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions," LIDAM Discussion Papers CORE 2016046, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Damiano Brigo & Monique Jeanblanc & Frédéric Vrins, 2019. "SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," LIDAM Reprints CORE 3067, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Brigo, Damiano & Jeanblanc, Monique & Vrins, Frédéric, 2019. "SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions," LIDAM Reprints LFIN 2020006, Université catholique de Louvain, Louvain Finance (LFIN).
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