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https://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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| File | Description | Size | Format | |
|---|---|---|---|---|
| 32r 140.pdf | 318,43 kB | Adobe PDF | View/Open |
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