The Sum and Difference of Two Lognormal Random Variables

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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Bibliographic Details
Main Author:	C. F. Lo
Format:	Article
Language:	English
Published:	Wiley 2012-01-01
Series:	Journal of Applied Mathematics
Online Access:	http://dx.doi.org/10.1155/2012/838397
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