Timeline for Generating realizations from $n$-dimensional geometric Brownian motion where the variables are constrained to sum to 1
Current License: CC BY-SA 4.0
8 events
| when toggle format | what | by | license | comment | |
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| Oct 13, 2023 at 15:09 | comment | added | arrhhh | I have solved the problem approximately i think the reference above is kind of too complicated there is a simpler solution possible i will post it after i have perfected it or published it somewhere | |
| Oct 10, 2023 at 1:33 | comment | added | Thomas Kojar | In "Diffusions on the Simplex from Brownian Motions on Hypersurfaces" they obtain explicit SDE systems for BMs in simplices. So I suppose one can then start from simulating those. | |
| Oct 9, 2023 at 22:22 | history | edited | Michael Hardy | CC BY-SA 4.0 |
edited body; edited title
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| Oct 9, 2023 at 20:51 | history | edited | Michael Hardy | CC BY-SA 4.0 |
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| Oct 9, 2023 at 8:16 | history | edited | arrhhh | CC BY-SA 4.0 |
added 79 characters in body
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| Oct 8, 2023 at 20:58 | history | edited | arrhhh |
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| S Oct 8, 2023 at 11:20 | review | First questions | |||
| Oct 8, 2023 at 11:28 | |||||
| S Oct 8, 2023 at 11:20 | history | asked | arrhhh | CC BY-SA 4.0 |