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Results tagged with stochastic-processes
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user 153882
A stochastic process is a collection of random variables usually indexed by a totally ordered set.
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Brownian local time density
From Borodin and Salminen (2002, Eqn. (1.3.4), p. 15) the probability that the BLT (Brownian local time) stands close to a given level $a$, for a time $dy$ is given by the density:
$$g(y; t, a) = \sq …
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