The mean-reverting Ornstein-Uhlenbeck process is the solution X of the stochastic differential equation dXt = (m...
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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].
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To find the expected value mean and variance of the OrnsteinUhlenbeck process we consider the stocha... View the full answer
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
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