The mean-reverting Ornstein-Uhlenbeck process is the solution X of the stochastic differential equation dXt = (m...

 

Transcribed Image Text:

The mean-reverting Ornstein-Uhlenbeck process is the solution X₁ of the stochastic differential equation dXt = (m - Xt)dt + od Bt where m, o are real constants, B E R. b) Find E[X] and Var[X]: = E[(Xt - E[X])²]. The mean-reverting Ornstein-Uhlenbeck process is the solution X₁ of the stochastic differential equation dXt = (m - Xt)dt + od Bt where m, o are real constants, B E R. b) Find E[X] and Var[X]: = E[(Xt - E[X])²].

Answer rating: 100% (QA)

To find the expected value mean and variance of the OrnsteinUhlenbeck process we consider the stocha... View the full answer