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Results tagged with ornstein-uhlenbeck
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user 35546
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Solution to a Geometric Ornstein Uhlenbeck Process $dX_t = \kappa(\theta - X_t)dt + \sigma X...
This is covered in the Introduction to Stochastic Calculus with applications by Klebaner, though you can find very similar presentation in the answers to the question that Gordon referenced in the com …
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