- #1
econmajor
- 5
- 1
Actually this is more of a simulation question but since PF doesn't have Simulation category I ask here.
I need to simulate a path from a proces given by this Stochastic DE:
$$ dX_t = -a(X_t-1)dt+b\sqrt{X_t}dB_t $$ where ##B_t## is wiener process/brownian motion and a and b are just some constants. In order to design a simulation scheme to this process I need to find it's distribution. Please help me find the distribution. I don't know whether this is advanced or Intermediate?
I need to simulate a path from a proces given by this Stochastic DE:
$$ dX_t = -a(X_t-1)dt+b\sqrt{X_t}dB_t $$ where ##B_t## is wiener process/brownian motion and a and b are just some constants. In order to design a simulation scheme to this process I need to find it's distribution. Please help me find the distribution. I don't know whether this is advanced or Intermediate?