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16
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3answers
2k views
What is a stationary process?
How do you explain what a stationary process is? In the first place, what is meant by process, and then what does the process have to be like so it can be called stationary?
5
votes
2answers
289 views
What is the mean and the standard deviation for Geometric Ornstein-Uhlenbeck Process?
I am uncertain as to how to calculate the mean and variance of the following Geometric Ornstein-Uhlenbeck process.
$$d X(t) = a ( L - X_t ) dt + V X_t dW_t$$
Is anyone able to calculate the mean ...
2
votes
1answer
156 views
Simple question about stochastic differential
What is the equivalent of product rule for stochastic differentials? I need it in the following case: Let $X_t$ be a process and $\alpha(t)$ a real function. What would be $d(\alpha(t)X_t)$?
