Timeline for Autocovariance of time integrated Ornstein–Uhlenbeck process
Current License: CC BY-SA 4.0
16 events
| when toggle format | what | by | license | comment | |
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| Jan 22 at 4:32 | comment | converted from answer | Materia Gravis | To correct the calculations given by @Iván, the correct final result should be: $$ \frac{\sigma^2}{2\gamma^3}\left(2\gamma t + 2e^{-\gamma t}+2e^{-\gamma(t+\tau)}-e^{-\gamma \tau}-e^{-\gamma(2t+\tau)}-2 \right) $$ | |
| Sep 27, 2023 at 13:47 | history | edited | Michael Hardy | CC BY-SA 4.0 |
added 103 characters in body; edited title
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| Apr 25, 2022 at 9:30 | comment | added | Quillo | See equation (9) here: JOURNAL OF APPLIED MATHEMATICS AND DECISION SCIENCES, 8(1), 1-14 "Three Ways to Solve for Bond Prices in the Vasicek Model", R. S. MAMON ( doi.org/10.1155/S117391260400001X ) | |
| Apr 19, 2022 at 12:22 | comment | added | Quillo | related: MathSE, math.stackexchange.com/q/4431021/532409 | |
| Apr 13, 2017 at 12:58 | history | edited | CommunityBot |
replaced http://mathoverflow.net/ with https://mathoverflow.net/
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| Nov 28, 2016 at 13:13 | vote | accept | Iván | ||
| Nov 18, 2016 at 2:49 | history | edited | Nate Eldredge |
edited tags
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| Nov 18, 2016 at 2:45 | answer | added | Nate Eldredge | timeline score: 2 | |
| Nov 17, 2016 at 17:13 | history | edited | Iván | CC BY-SA 3.0 |
edited body
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| Nov 17, 2016 at 17:08 | history | edited | Iván | CC BY-SA 3.0 |
edited body
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| Nov 17, 2016 at 16:57 | history | edited | Iván | CC BY-SA 3.0 |
t and v are final times and u and s aux times
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| Nov 17, 2016 at 16:03 | comment | added | Nate Eldredge | By the way, I think $s,t,u$ are mixed up in a couple places. You might want to proofread carefully. | |
| Nov 17, 2016 at 16:02 | comment | added | Nate Eldredge | Hint: break the double integral into two regions, one with $s \le u$ and the other with $s \ge u$. | |
| Nov 17, 2016 at 15:51 | history | edited | Iván | CC BY-SA 3.0 |
corrected equation
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| Nov 17, 2016 at 15:47 | review | First posts | |||
| Nov 17, 2016 at 16:32 | |||||
| Nov 17, 2016 at 15:39 | history | asked | Iván | CC BY-SA 3.0 |