Tagged Questions

Questions about stochastic calculus in Mathematica, for example how to use ItoProcess and RandomFunction.

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How to make a parameter stochastic in a differential equation system with NDSolve?

I constructed the differential equation system below, which I solved using NDSolve. Now I need one parameter ($mu$) to be stochastic, e.g. Poisson distributed around a mean and changing slightly at ...
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Simulations with MonteCarlo and Autoregressive methods

I am trying to find the best-fit trend for my data. Here I just generated it but let's say I don't know my data trend at all. ...
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Changing GeometricBrownianMotionProcess function

Since the function GeometricBrownianMotionProcess is given by Mathematica I have some technical questions. If we consider the following example: ...
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Why G/G/1 Queue properties Mathematica command not working?

Dear in this command I try to compute the M/M/1 properties with different arrival and service rate along with G/G/1 with arrival and service distributions are the Pareto distributions. ...
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Stochastic proccess in mathematica using itofunction and different processes(Bernoulli and weiner)

$ds(t)=K B (t) s( t)+\alpha (\mu -s (t))+\sigma dw(t)$ Where $(\alpha ,\mu ,K,B t,\sigma ,w)$ are in order(reversion factor, mean,Random N~(0,1),BernoulliProcess(0.008), Volatility,Weiner process) ...
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Is it possible to use random initial data in StratonovichProcess or ItoProcess?

I tried the following but it doesn't seem to be working ...
How can I derive analytically or compute numerically the solution to following differential equation $$dy/dt = y\cdot X\cdot (y\cdot X - g(y,X))\cdot X$$ where X is a random variable (e.g. from a ...
I have a time series of assets ${A_1, A_2, ..., A_n}$, which is described by a sophisticated distribution having the following characteristic function: $\phi(u; t;\theta)$, where $\theta$ is a vector ...