Bounded brownian motion

Peter Carr

doi:10.3390/risks5040061

Bounded brownian motion

Peter Carr

Finance and Risk Engineering

Research output: Contribution to journal › Article › peer-review

Abstract

Diffusions are widely used in finance due to their tractability. Driftless diffusions are needed to describe ratios of asset prices under a martingale measure. We provide a simple example of a tractable driftless diffusion which also has a bounded state space.

Original language	English (US)
Article number	61
Journal	Risks
Volume	5
Issue number	4
DOIs	https://doi.org/10.3390/risks5040061
State	Published - Dec 2017

Keywords

Brownian martingale
Diffusion coefficient
Standard brownian motion

ASJC Scopus subject areas

Accounting
Economics, Econometrics and Finance (miscellaneous)
Strategy and Management

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10.3390/risks5040061

Cite this

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title = "Bounded brownian motion",

abstract = "Diffusions are widely used in finance due to their tractability. Driftless diffusions are needed to describe ratios of asset prices under a martingale measure. We provide a simple example of a tractable driftless diffusion which also has a bounded state space.",

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KW - Standard brownian motion

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Bounded brownian motion

Abstract

Keywords

ASJC Scopus subject areas

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