The randomly stopped geometric Brownian motion

Eugenio P. Balanzario, Rosalva Mendoza Ramírez and Jorge Sánchez Ortiz

Statistics & Probability Letters, 2014, vol. 90, issue C, 85-92

Abstract: In this short note we compute the probability density function of the random variable XT, where Xt is a geometric Brownian motion, and where T is a random variable independent of Xt and has either a Gamma distribution or it is uniformly distributed. In the last section of the note, the distribution obtained for XT is fitted to the data consisting in the academic production of a set of mathematicians.

Keywords: Power laws; Heavy tails; Zipf law (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2014.03.013

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