Change of drift in one-dimensional diffusions

Sascha Desmettre; Gunther Leobacher; L.C.G. Rogers

doi:10.1007/s00780-021-00451-w

Change of drift in one-dimensional diffusions

Sascha Desmettre
, Gunther Leobacher
, L.C.G. Rogers

Institute of Financial Mathematics and Applied Number Theory

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	359-381
Number of pages	23
Journal	Finance and Stochastics
Volume	25
Issue number	2
DOIs	https://doi.org/10.1007/s00780-021-00451-w
Publication status	Published - Apr 2021

Fields of science

101 Mathematics
101007 Financial mathematics
101019 Stochastics
101025 Number theory

JKU Focus areas

Digital Transformation
Transformation in Finance and Financial Institutions

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10.1007/s00780-021-00451-w

Cite this

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title = "Change of drift in one-dimensional diffusions",

author = "Sascha Desmettre and Gunther Leobacher and L.C.G. Rogers",

year = "2021",

month = apr,

doi = "10.1007/s00780-021-00451-w",

language = "English",

volume = "25",

pages = "359--381",

journal = "Finance and Stochastics",

issn = "1432-1122",

number = "2",

}

TY - JOUR

T1 - Change of drift in one-dimensional diffusions

AU - Desmettre, Sascha

AU - Leobacher, Gunther

AU - Rogers, L.C.G.

PY - 2021/4

Y1 - 2021/4

UR - https://www.scopus.com/pages/publications/85102942024

U2 - 10.1007/s00780-021-00451-w

DO - 10.1007/s00780-021-00451-w

M3 - Article

SN - 1432-1122

VL - 25

SP - 359

EP - 381

JO - Finance and Stochastics

JF - Finance and Stochastics

IS - 2

ER -

Change of drift in one-dimensional diffusions

Fields of science

JKU Focus areas

Access to Document

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Cite this