Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/61778
Authors: 
Butucea, Cristina
Nussbaum, Michael
Year of Publication: 
1999
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1999,59
Abstract: 
Financial models consider often stochastic processes satisfying certain differential equations. We show that the solution of a particular geometric Brownian motion observed in discrete time is asymptotically equivalent with a Gaussian white noise model.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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