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 ...
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 ...
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. ...