3.4. Use the FokkerPlanck equation to investigate the steady state PDFs for the following stochastic processes: 1.
Question:
3.4. Use the Fokker–Planck equation to investigate the steady state PDFs for the following stochastic processes:
1. dX = (2X−X2)dt+XdW for X(t) ≥ 0 ;
2. dX = (3X−2X2)dt+2XdW for X(t) ≥ 0 ;
3. dX = β
1+X2dW ;
4. dX=−Xdt+
1+X2dW ;
5. dX = Xdt+(1+X2)dW ;
6. dX=−Xdt+
√
2(1+X2)1/4dW .
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Related Book For
Elementary Calculus Of Financial Mathematics
ISBN: 978-0898716672
1st Edition
Authors: A. J. Roberts Edition
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