Questions tagged [motion]

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Brownian Motion for USD/EUR Exchange Rate [closed]

I'm writing in order to have a clear overview of the Brownian Motion applied to an Exchange Rate. Which elements would you take into account to calculate the Drift for an exchange rate? I re-mark the ...
Gianluca's user avatar
-3 votes
2 answers

Proof: Brownian Motion Path Continious with Probability One [closed]

How can one show that the paths of the standard Wiener process are continuous in $T$ with probability one? Can we just proof it with the assumption of independence ? Thank You in advance!
Nikolai Kl's user avatar
4 votes
1 answer

Ito formula for $Y_t=tB_t$

someone can help me to solve this problem: $B_t$ is a Standard Brownian Motion. Let $Y_t=tB_t$. Using Ito formula, find drift and volatility of $Y_t$. The result I found is $dY_t=B_tdt+t\cdot dB_t$ ...
Luca Camerani's user avatar
1 vote
1 answer

SDE Parameter Estimation

Have a question about "How to estimate parameters for SDE with multiple Brownian Motions ?" Let's say $X_t$ follows the process: $dX_t=\mu dt+\sigma_1 dW_t^1 + \sigma_2 dW_t^2 $ I think I've checked ...
TryingtobeQuant's user avatar