Given the Ornstein-Uhlenbeck process: where is Brownian motion. Under the Ornstein-Uhlenbeck model, what is the conditio
Posted: Wed May 04, 2022 1:18 pm
Given the Ornstein-Uhlenbeck process:
where is Brownian motion.
Under the Ornstein-Uhlenbeck model, what is the conditional
probability of at time t given ? Please show the process.
dxt = μ(0 - xt)dt + odBt
- Given The Ornstein Uhlenbeck Process Where Is Brownian Motion Under The Ornstein Uhlenbeck Model What Is The Conditio 1 (5.77 KiB) Viewed 39 times
Under the Ornstein-Uhlenbeck model, what is the conditional
probability of at time t given ? Please show the process.
dxt = μ(0 - xt)dt + odBt