0
votes
1answer
329 views

Mathematical properties of financial prices

Prices of financial assets (stock-market prices or currency exchange rates) obviously resemble trajectories of stochastic processes. What is known about their mathematical properties ? I know ...
1
vote
3answers
274 views

“Graphical models” and “gene finding and diagnosis of diseases” ?

Quote Wikipedia: Applications of graphical models include ... gene finding and diagnosis of diseases... Unfortunately there is no comment what are these applications... Can one comment on this ? ...
1
vote
1answer
417 views

Stochastic process with Bessel function autocorrelation. (Rayleigh (Jakes) fading for radiowave propagation)

Have the stochastic following process f(t) been studied in mathematics ? It is stationary, Gaussian, f(t) - complex independent Gaussians N(0,1). The autocorrelation is given by the zeroth-order ...
2
votes
2answers
272 views

Diffusion processes in probabilistic modelling

I'm working on a PhD project that involves parameter estimation for diffusion processes. I'm based in a machine learning research group, and the emphasis here is strongly on "practical" research. ...
5
votes
2answers
2k views

Can I relate the L1 norm of a function to its Fourier expansion?

I would like to express the integral of the absolute value of a real-valued function $f$ (over a finite interval) in terms of the Fourier coefficients of $f$. Failing that, I would like to know of any ...