Wealth Motion Models Generalized Lévy Process Brownian Motion with Returns to Zero
Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Serdica Mathematical Journal, Vol. 29, No 3, (2003), 195p-224p
The change in the wealth of a market agent (an investor, a
company, a bank etc.) in an economy is a popular topic in finance. In this
paper, we propose a general stochastic model describing the wealth process
and give some of its properties and special cases. A result regarding the
probability of default within the framework of the model is also offered.