Sam Peters wrote: > > Hi all > > Can anyone please give me some guidance on the above? In particular, > I'd like to solve the following (Ornstein-Uhlenbeck) process: > > dX = -aXdt + (sigma)dW ; X(0) = a > > for X(t) by using Ito's formula or an integrating factor method so I > can then calculate the mean and variance of X(t). > > Finally I'd like to to find the pde's that satisfy the transition > density for the process. > > Thanks in advance > > S
Did you really 'google' for it? :-) I think it is sketched in Shreves online notes http://www-2.cs.cmu.edu/~chal/shreve.html . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
