Lin Xu

Princeton University - School of Engineering and Applied Science

Princeton, NJ 08554

SCHOLARLY PAPERS

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Scholarly Papers (1)

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Large Time and Small Noise Asymptotic Results for Mean Reverting Diffusion Processes with Applications

Economic Theory, Vol. 16, Issue 2
Posted: 08 Nov 2000
University of Toronto - Rotman School of Management, Rutgers University - Rutgers Business School - Newark and New Brunswick and Princeton University - School of Engineering and Applied Science

Abstract:

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Large deviations, level-2-large deviations, exit problems, mean reverting stochastic differential equations