Abstract
Pathwise comparison results for controlled arithmetric Brownian motion processes and for controlled log-normal, also called logarithmic Brownian motion, processes are obtained. Applications of these results to finance are given.
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Ferreyra, G., Sundar, P. (1999). Pathwise Comparison of Arithmetric Brownian Motions and Log-normal Processes. In: McEneaney, W.M., Yin, G.G., Zhang, Q. (eds) Stochastic Analysis, Control, Optimization and Applications. Systems & Control: Foundations & Applications. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4612-1784-8_32
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DOI: https://doi.org/10.1007/978-1-4612-1784-8_32
Publisher Name: Birkhäuser, Boston, MA
Print ISBN: 978-1-4612-7281-6
Online ISBN: 978-1-4612-1784-8
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