Give an explicit solution for the mean-reverting rnstein-Uhlenbeck SDE [d X_{t}=alphaleft(mu-X_{t} ight) d t+sigma d B_{t}] with
Question:
Give an explicit solution for the mean-reverting Ørnstein-Uhlenbeck SDE
\[d X_{t}=\alpha\left(\mu-X_{t}\right) d t+\sigma d B_{t}\]
with \(X_{0}=x\).
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Answer rating: 100% (QA)
Answered By
Salmon ouma
I am a graduate of Maseno University, I graduated with a second class honors upper division in Business administration. I have assisted many students with their academic work during my years of tutoring. That has helped me build my experience as an academic writer. I am happy to tell you that many students have benefited from my work as a writer since my work is perfect, precise, and always submitted in due time. I am able to work under very minimal or no supervision at all and be able to beat deadlines.
I have high knowledge of essay writing skills. I am also well conversant with formatting styles such as Harvard, APA, MLA, and Chicago. All that combined with my knowledge in methods of data analysis such as regression analysis, hypothesis analysis, inductive approach, and deductive approach have enabled me to assist several college and university students across the world with their academic work such as essays, thesis writing, term paper, research project, and dissertation. I have managed to help students get their work done in good time due to my dedication to writing.
5.00+
4+ Reviews
16+ Question Solved
Related Book For
Quantitative Finance
ISBN: 9781118629956
1st Edition
Authors: Maria Cristina Mariani, Ionut Florescu
Question Posted:
Students also viewed these Business questions
-
If find: (a) f(-3) (b) f(0) (c) f(3) f(x) = -x 4 3x - 2 if x < 0 if x = 0 if x > 0
-
In Problems 4366, find the real solutions, if any, of each equation. Use the quadratic formula. 4 + X 1 X = 0
-
Let X space tilde thin space U left parenthesis 0 comma 20 right parenthesis and assume we take a sample of size 100 from this population distribution. What distribution would the sample mean (top...
-
Cooper Movie Studio Corp. makes movies and is interested in lowering its operating costs for the following year, while maintaining the high quality and appeal of its movies. Cooper's management is...
-
Telemark-Kjemi AS manufactures an industrial solvent in two departments - mixing and cooking. This question focuses on the Cooking Department. During June 2015, 90 tonnes of solvent were completed...
-
Given f(x) = 1 , x+5 find the average rate of change of f(x) on the interval [9, 9+ h]. Your answer will be an expression involving h. Submit Question
-
You borrow \($495\) from your brother-in-law to buy an iPad and agree to pay it back when you get your tax refund (6 months away). Because you are family, but not trusted, you are being charged...
-
Determinant of Interest Rates The real risk-free rate of interest is 4%. Inflation is expected to be 2% this year and 4% during the next 2 years. Assume that the maturity risk premium is zero. What...
-
- The market value of the assets in the plan as of January 1 , 2 0 2 3 was $ 1 , 9 8 2 , 6 0 0 ; - The Company ABC contributes the normal cost for 2 0 2 3 on June 3 0 , 2 0 2 3 ; and - The pension...
-
Give the Euler-Milstein approximation scheme for the following SDE: \[d S_{t}=\mu_{S} S_{t} d t+\sigma S_{t}^{\beta} d B_{t}\] where \(\beta \in(0,1]\). Generate five paths and plot them for the...
-
Show that the stochastic process \[e^{\int_{0}^{t} c(s) d B_{s}-\frac{1}{2} \int_{0}^{t} c^{2}(s) d s}\] is a martingale for any deterministic function \(c(t)\). Does the result change if \(c(t,...
-
Carter Company manufactures cappuccino makers. For the first eight months of the year the company reported the following operating results while operating at 80% of plant capacity: Sales (500,000...
-
Stellar Sound, Inc., which uses a job-order costing system, had two jobs in process at the start of 20x1: job no. 64 ($84,100) and job no. 65 ($53,500). The following information is available: a. The...
-
For the current year, Electric Corporation expected to sell 40,400 industrial power cords. Fixed costs were expected to total $1,642,000; unit sales price was expected to be $3,500; and unit variable...
-
An endowment fund is set up with a donation of $110,000. If it earns 4.1% compounded monthly, for how long will it sustain end-of- month withdrawals of $1,300? (Include the final smaller withdrawal.)...
-
Defined benefit obligation, 31 December 20X1 Benefits paid to retirees in 20X2 during the year Current service cost for 20X2 Actual return on plan assets for 20X2 Fair value of plan assets, 31...
-
At December 31, Hawke Company reports the following results for its calendar year. Cash sales Credit sales $ 280,000 $700,000 In addition, its unadjusted trial balance includes the following items....
-
The other bearing on the shaft of Prob. 112 is to be a 03-series cylindrical roller bearing with inner ring rotating. For a 1650-lbf radial load, find the catalog rating C10 with which to enter Table...
-
Suppose that a business sells 6-month subscriptions to its monthly magazine. On January 1, the company receives a total of $600 for 10 subscriptions. To record this transaction, the company debits...
-
12. "New competition is not between what companies produce in their factories, but between what they add to their factory output in the form of packaging, services, advertising, customer advice,...
-
1. What is Stock Market Analysis. Explain in Detail? 2. Discuss about Nature and Scope of Stock Market Analysis. 3. Discuss about Basics of Stock Market Analysis. 4. What is Investment? Explain in...
-
Question 2 Abantu Ltd, a textile manufacturing company in Bungoma, recently introduced a compensation programme for its employees. As a human resource specialist, explain what prompted the firm to...
Study smarter with the SolutionInn App