Large time and small noise asymptotic results for mean reverting diffusion processes with applications

Economic Theory

Volumn 16, Issue 2, 2000, Pages 401-419

  Callen, Jeffrey ^a   Govindaraj, Suresh ^b   Xu, Lin ^c  

^a NEW YORK UNIVERSITY   (United States)

^b Och Spine at New York Presbyterian Hospitals   (United States)

^c NONE

Author keywords

Exit problems; Large deviations; Level 2 large deviations; Mean reverting stochastic differential equations

Indexed keywords

EID: 0034259101     PISSN: 09382259     EISSN: None     Source Type: Journal    
DOI: 10.1007/PL00004090     Document Type: Article

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