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

Cristina Butucea, Michael Nussbaum

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.

Year of publication:	1999
Authors:	Butucea, Cristina ; Nussbaum, Michael
Institutions:	Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse (contributor)
Publisher:	Berlin : Humboldt-Universität
Subject:	Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Analysis \| Mathematical analysis \| Volatilität \| Volatility

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