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

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  • Butucea, Cristina
  • Nussbaum, Michael

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.

Suggested Citation

  • Butucea, Cristina & Nussbaum, Michael, 1999. "Asymptotic equivalence of discretely observed geometric Brownian motion to a Gaussian shift," SFB 373 Discussion Papers 1999,59, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  • Handle: RePEc:zbw:sfb373:199959
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