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What's the explicit difference when looking at Differential Equations vs Stochastic Differential Equations?
I learned differential equations from mathematics text and have having some trouble with its application in statistics. Specifically applied to stochastic time series.
From my time series text reads "...
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0
votes
2
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Is jump intensity inaccurate in describing random process?
In https://en.wikipedia.org/wiki/It%C3%B4's_lemma
Under the section of Poisson jump processes, it is said that
We may also define functions on discontinuous stochastic processes.
Let h be the jump ...
- 948
1
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1
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Finding mean and variance of stochastic process
If I'm given a Stochastic Process Xt that satisfies a stochastic diff. equation, let's say fXt,
what is the formula to find the mean and variance of Xt?
I think it's:
$mean = dE(X_t) = dX_0e^t$
$...
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