3603随机过程中等derivationlong
OU Long-Run Mean Implied by a Conditional Mean Target 3
题目
An OU process satisfies dX_t = 0.6(theta - X_t)dt + sigma dW_t with X_0 = 10. If E[X_0.5] should equal 8.9, what theta is implied?
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题目
An OU process satisfies dX_t = 0.6(theta - X_t)dt + sigma dW_t with X_0 = 10. If E[X_0.5] should equal 8.9, what theta is implied?
解题计时
0:00
提交作答时记录，用于后续平均用时统计。
你的答案