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

Damiano Brigo, Monique Jeanblanc and Frédéric Vrins

No 3067, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2019-01-01
Note: In : Stochastic Processes and their Applications, 2019
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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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