On the non-equilibrium density of geometric mean reversion

Zhaojun Yang and Christian-Oliver Ewald

Statistics & Probability Letters, 2010, vol. 80, issue 7-8, 608-611

Abstract: The geometric mean reversion process X([dot operator]) is well known to play a fundamental role in economic dynamic models. While it is known, at least since Merton (1975), that the equilibrium distribution of geometric mean reversion, i.e. the distribution of X([infinity]), is a gamma distribution, an explicit expression for the non-equilibrium distribution, i.e. the distribution of X(t) for t

Date: 2010
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