6052随机过程简单数值题short
Direction of Mean Reversion in a CIR Process
题目
A CIR process satisfies dX_t = 2(0.04 - X_t) dt + 0.1 sqrt(X_t) dW_t. The current value is X_t = 0.07. Is the instantaneous drift positive or negative, and what is its numerical value?
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