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Results tagged with stochastic-processes
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user 40173
A stochastic process is a collection of random variables usually indexed by a totally ordered set.
3
votes
0
answers
188
views
Time change for non-homogeneous Markov processes
Background: Let $C$ be the space of continuous function on $[0,T]$, $f, \sigma \in C$ bounded with $\sigma^2 \geq \varepsilon > 0$ and let $X=(X_t)_{t\in [0,T]}$ be a diffusion process of infinitesima …
- 315
4
votes
1
answer
540
views
Total variation distance between diffusion processes with different volatility coefficient
Preamble:
This question is similar to the one in total variation distance between two solutions of SDE . The difference is that in my case the drift is the same but there are different diffusion coeff …
- 315