b***k
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hahaguy (笑笑生，小声笑) 于 (Fri Aug 8 19:14:43 2008) 提到:
求解
dB = -B / (1-t) *dt + dW (0<= t < 1)
B(0) = 0
这里W是一个wiener process
我的结果是
B = W-t*W
结果答案还含有积分
向各位请就解答
先谢了
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bladehaze (^_^) 于 (Fri Aug 8 21:01:00 2008) 提到:
It is a Ornstein - Uhlenbeck process, there is a trick to solve this kind of
process. Check Mark Steele's book, or google.
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Taikonaut (遨游太空) 于 (Fri Aug 8 22 |
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