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Please use this identifier to cite or link to this item: http://elib.bsu.by/handle/123456789/9320
Title: Ornstein-Uhlenbeck Processes Simulation
Authors: Kuzmina, A.
Keywords: ЭБ БГУ::ОБЩЕСТВЕННЫЕ НАУКИ::Информатика
Issue Date: 2012
Publisher: Минск: БГУ
Citation: Modeling and Simulation : MS'2012 : Proc. of the Intern. Conf., 2—4 May 2012, Minsk, Belarus. - Minsk: Publ. Center of BSU, 2012. - 178 p. - ISBN 978-985-553-010-8.
Abstract: In this paper we give a brief introduction to Ornstein-Uhlenbeck processes and their simulation methods. Ornstein-Uhlenbeck processes were introduced by Barndorff-Nielsen and Shephard (2001) as a model to describe volatility in finance. Ornstein-Uhlenbeck processes are based on Levy processes. Levy processes simulation may be found in [1, 2].
URI: http://elib.bsu.by/handle/123456789/9320
Appears in Collections:2012. Моделирование процессов систем: Труды Международной конференции
Статьи факультета прикладной математики и информатики

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