3781随机过程中等derivationmedium
Long-Run Mean from a One-Year Expected Level
题目
An OU process starts at X_0 = 8 and has mean-reversion speed kappa = 0.6. If E[X_1] = 5.6, what long-run mean 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
题目
An OU process starts at X_0 = 8 and has mean-reversion speed kappa = 0.6. If E[X_1] = 5.6, what long-run mean 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