Stocks & Commodities V. 25:2 (44-48): Sidebar: Brownian motion and fractional Brownian motion by Radha Panini

Stocks & Commodities V. 25:2 (44-48): Sidebar: Brownian motion and fractional Brownian motion by Radha Panini
Item# \V25\c02\029SB3.pdf
$2.95
Availability: In Stock

Product Description

Stocks & Commodities V. 25:2 (44-48): Sidebar: Brownian motion and fractional Brownian motion by Radha Panini

BROWNIAN MOTION AND FRACTIONAL BROWNIAN MOTION

Brownian motion: A random process {Wt: t > 0} is a standard Brownian motion if:

1. For each t> 0 and s>0, Wt+s Wt is normally distributed with mean 0 and variance s

2. Wt+s Wt is independent of Wt

3. Wt is a continuous function of time and W0 = 0.

An important property of a Brownian motion is that the covariance of Wt is given by:

E(WtWs) = min{s,t}




FOR THOSE ORDERING ARTICLES SEPARATELY:
*Note: $2.95-$5.95 Articles are in PDF format only. No hard copy of the article(s) will be delivered. During checkout, click the "Download Now" button to immediately receive your article(s) purchase. STOCKS & COMMODITIES magazine is delivered via mail. After paying for your subscription at store.traders.com users can view the S&C Digital Edition in the subscriber's section on Traders.com.




Take Control of Your Trading.
Professional Traders' Starter Kit
All these items shown below only $299.99!
  • 5-year subscription to Technical Analysis of STOCKS & COMMODITIES, The Traders' magazine. (Shipping outside the US is extra. Washington state addresses require sales tax based on your locale.)
  • 5 year access to S&C Archive
  • 5 year access to S&C Digital Edition
  • 5-year subscription to Traders.com Advantage.
  • 5-year subscription to Working Money.
  • Free book selection.
  • Click Here to Order