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
1answer
405 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
271 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. ...