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Hull's development of the Wiener process Assumes changes in a process, z, are given as Δz = ενΔt where & follows N(0,1). Then clearly Ε(Δz) = 0 stdev (Az) = √At Var (Az) = At With independence of all Ázs and with Τ = Ν · Δt N We usually set z(0)=0 z(T) - Z(0) = ₁√At i=1 Implies process is Markov 32

Hull's development of the Wiener process Assumes changes in a process, z, are given as Δz = ενΔt where & follows N(0,1). Then clearly Ε(Δz) = 0 stdev (Az) = √At Var (Az) = At With independence of all Ázs and with Τ = Ν · Δt N We usually set z(0)=0 z(T) - Z(0) = ₁√At i=1 Implies process is Markov 32

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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can you explain what the Wiener Process is and what these variables states

Hull's development of the Wiener process Assumes changes in a process, z, are given as Az = ɛVAt where ɛ follows N(0,1). Then clearly E(Az) = 0 = EVAT Implies process is Markov stdev(Az) = VAt Var(Az) = At With independence of all Azs and with T = N•AT N z(T) – z(0) = > ɛ¡VAt %3D We usually set z(0)=0 i=1 32
Transcribed Image Text:Hull's development of the Wiener process Assumes changes in a process, z, are given as Az = ɛVAt where ɛ follows N(0,1). Then clearly E(Az) = 0 = EVAT Implies process is Markov stdev(Az) = VAt Var(Az) = At With independence of all Azs and with T = N•AT N z(T) – z(0) = > ɛ¡VAt %3D We usually set z(0)=0 i=1 32
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