由彩色噪声驱动的几何布朗运动
统计力学
2016-08-14 v1 统计金融
摘要
The evolution of prices on ideal market is given by geometrical Brownian motion, where Gaussian white noise describes fluctuations. We study the effect of correlations introduced by a color noise.
引用
@article{arxiv.cond-mat/0702607,
title = {Geometrical Brownian Motion Driven by Color Noise},
author = {Ryszard Zygadło},
journal= {arXiv preprint arXiv:cond-mat/0702607},
year = {2016}
}
备注
presented at FENS, 2006, Cracow, April 22