Asymptotic equivalence of discretely observed geometric Brownian motion to a Gaussian shift

Cristina Butucea and Michael Nussbaum

No 1999,59, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: Financial models consider often stochastic processes satisfying certain differential equations. We show that the solution of a particular geometric Brownian motion observed in discrete time is asymptotically equivalent with a Gaussian white noise model.

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:199959

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