The Sum and Difference of Two Lognormal Random Variables
We have presented a new unified approach to model the dynamics of both the sum and difference of two correlated lognormal stochastic variables. By the Lie-Trotter operator splitting method, both the sum and difference are shown to follow a shifted lognormal stochastic process, and approximate probab...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2012-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2012/838397 |