On the Non-Equilibrium Density of Geometric Mean Reversion

Geometric mean reversion plays a fundamental role in economic dynamic models. While it is known, at least since Merton (1975) [9], that the equilibrium distribution of geometric mean reversion is a Gamma distribution, an explicit expression for the non-equilibrium distribution has not been known. In this article we compute the probability density function of X(t) where X(middot;) represents a general geometric mean reversion process

Year of publication:	[2008]
Authors:	Yang, Zhaojun
Other Persons:	Ewald, Christian-Oliver (contributor)
Publisher:	[2008]: [S.l.] : SSRN

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