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Using a geometric Brownian motion to control a brownian motion and vice versa

Mario Lefebvre

Article (1997)

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Department: Department of Mathematics and Industrial Engineering
PolyPublie URL: https://publications.polymtl.ca/30282/
Journal Title: Stochastic Processes and Their Applications (vol. 69, no. 1)
Publisher: Elsevier
DOI: 10.1016/s0304-4149(97)00040-9
Official URL: https://doi.org/10.1016/s0304-4149%2897%2900040-9
Date Deposited: 18 Apr 2023 15:23
Last Modified: 25 Sep 2024 16:11
Cite in APA 7: Lefebvre, M. (1997). Using a geometric Brownian motion to control a brownian motion and vice versa. Stochastic Processes and Their Applications, 69(1), 71-82. https://doi.org/10.1016/s0304-4149%2897%2900040-9

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