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Linear Algebra: A Modern Introduction

Linear Algebra: A Modern Introduction

4th Edition

ISBN:9781285463247

Author:David Poole

Publisher:David Poole

Chapter3: Matrices

Section3.7: Applications

Problem 13EQ

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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
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