1. A variable, x, starts at 10 and follows a generalized Wiener process dx = a...
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1. A variable, x, starts at 10 and follows a generalized Wiener process dx = a dt+b dz where a = 2, b = 3, and dz is a Wiener process. (i) What is the mean value of the variable after three years? (ii) What is the standard deviation of the value of the variable after three years? (iii) What is the mean value of the variable after six months? (iv) What is the standard deviation of the value of the variable after six months? 1. A variable, x, starts at 10 and follows a generalized Wiener process dx = a dt+b dz where a = 2, b = 3, and dz is a Wiener process. (i) What is the mean value of the variable after three years? (ii) What is the standard deviation of the value of the variable after three years? (iii) What is the mean value of the variable after six months? (iv) What is the standard deviation of the value of the variable after six months?
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SOLUTION i The mean value after three years can be calculated as follows Let xt be the value of the ... View the full answer
Related Book For
Introduction to Operations Research
ISBN: 978-1259162985
10th edition
Authors: Frederick S. Hillier, Gerald J. Lieberman
Posted Date:
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