SDES with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions

Damiano Brigo, Monique Jeanblanc and Frédéric Vrins

No 2020006, LIDAM Reprints LFIN from Université catholique de Louvain, Louvain Finance (LFIN)

Date: 2019-01-01
Note: In : Stochastic Processes and Their Applications, Vol. 130, no. 7, p. 3895-3919 (2020)
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Related works:
Journal Article: SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions (2020)
Working Paper: SDEs with uniform distributions: Peacocks, conic martingales and mean reverting uniform diffusions (2019)
Working Paper: SDEs with Uniform Distributions: Peacocks, Conic Martingales and Mean Reverting Uniform Diffusions (2016)
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