Step by step derivation of the Ornstein-Uhlenbeck Process' solution, mean, variance, covariance, probability density, calibration /parameter estimation, and simulation of paths. Also cover its limiting and stationary distribution, and half-life.
- 5 жыл бұрын
Ornstein Uhlenbeck (OU) Process: solution, mean, variance, covariance, calibration, and simulation
- Рет қаралды 33,001
Пікірлер: 63