On the non-equilibrium density of geometric mean reversion

Yang, Z. and Ewald, C.O. (2010) On the non-equilibrium density of geometric mean reversion. Statistics and Probability Letters, 80(7-8), pp. 608-611. (doi: 10.1016/j.spl.2009.12.017)

Abstract

The geometric mean reversion process X(dot operator) is well known to play a fundamental role in economic dynamic models. While it is known, at least since Merton (1975), that the equilibrium distribution of geometric mean reversion, i.e. the distribution of X(∞), is a gamma distribution, an explicit expression for the non-equilibrium distribution, i.e. the distribution of X(t) for t<∞, has not been known. The main result of this article is an analytic formula which computes the probability density function of X(t).

• Item Type: Articles
• Status: Published
• Refereed: Yes
• Glasgow Author(s) Enlighten ID: Ewald, Professor Christian
• Authors: Yang, Z., and Ewald, C.O.
• College/School: College of Social Sciences > Adam Smith Business School > Economics
• Journal Name: Statistics and Probability Letters
• ISSN: 0167-7152
• Published Online: 04 January 2010