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Results tagged with brownian-motion
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user 142431
Brownian motion is the random motion of particles (eg atoms) that make up a gas. The math used to model Brownian motion is sometimes used in statistics to describe stochastic processes over time.
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Correlation between Ornstein-Uhlenbeck processes
Consider the Ornstein-Uhlenbeck process, $U(t)$, whose evolution follows:
$$
\mathrm{d}U(t) = -\theta U(t) \mathrm{d}t + \sigma \mathrm{d}W(t),
$$
where $\theta \in (0,2)$ is the mean-reversion rate, …
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