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Results tagged with stochastic-calculus
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user 111102
Stochastic calculus provides a consistent theory of integration for stochastic processes and is used to model random systems. Its applications range from statistical physics to quantitative finance.
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Ornstein-Uhlenbeck type process with thresholding
(Edited) I met a univariate Ornstein-Uhlenbeck type process but with self soft-thresholding:
$$
dX(t) = - c\ \mbox{sgn}(X(t))\big[|X(t)|-c_1 t^{\mu}\big]_+ dt + \sigma dB(t), \quad X(0)=0,
$$
where $ …
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