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Results tagged with pr.probability
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user 82057
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
5
votes
1
answer
3k
views
Between arithmetic and geometric Brownian motions: when are negative values possible?
Please note edits after original post changing the specific form of the setup
Let's say we have a stochastic differential equation:
$$
\mathrm{d}S_t = |S^\beta| {(\mu \mathrm{d}t + \sigma\mathrm{d}W_ …
- 251
9
votes
4
answers
3k
views
How can the Kalman filter be adapted to handle binary observations?
Imagine a coin with a time-varying probability of coming up heads. (For example, perhaps the probability follows a random walk that is constrained to live in $[0, 1]$. And say we have some informati …
- 251