I had a brief question regarding SDEs. Typically, I've seen models like the Ornstein-Uhlenbeck process that generally revert back to the mean over time. However, I've been trying to find a stochastic differential equation/process that avoids the mean, such as a sharp increase followed by a sharp decrease. What examples are like this and/or how would one derive something like this?
0 commentaires:
Enregistrer un commentaire