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Results tagged with pr.probability
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user 169351
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
1
vote
0
answers
36
views
Grid of mostly independent variables
We're given an finite grid of random variables like so:
$$
\begin{bmatrix} A & B &... \\C & \ddots \\ \vdots&&X\\
\end{bmatrix}
$$
a subset of variables on the gird is independent if no two variables …
- 309
0
votes
1
answer
267
views
Autocorrelation function of Itô process
I'm working with a time independent (vector) Itô SDE such as:
$$
dX = a(X) dt + b(X) dW.
$$
I've looked (numerically) at several examples and it seems that the autocovariance function $r_{xx}(\Delta t …
- 309