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- W2235532988 abstract "We investigate a Verhulst process, which is the special functional of geometric Brownian motion and has many applications, among others in biology and in stochastic volatility models. We present an exact form of density of a one dimensional distribution of Verhulst process. Simple formula for the density of Verhulst process is obtained in the special case, when the drift of geometric Brownian motion is equal to -1/2. Some special properties of this process are discussed, e.g. it turns out that under Girsanov's change of measure a Verhulst process still remains a Verhulst process but with different parameters." @default.
- W2235532988 created "2016-06-24" @default.
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- W2235532988 date "2014-08-28" @default.
- W2235532988 modified "2023-09-27" @default.
- W2235532988 title "Exact Distribution of Verhulst process" @default.
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