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Questions on creating visualizations from functions or data using high-level constructors such as Plot, ListPlot, Histogram, etc.

2 votes
0 answers
544 views

Simulate Geometric Brownian Motion with stochastic drift

I want to simulate a GBM with its drift parameter follows some continuous time Markov chain. For example, \begin{align} dK & =\mu Kdt+\sigma K dW \end{align} where $\mu$ follows continuous-time Ma …
Xiaoge Zhang's user avatar