A simple closed-form formula for the conditional moments of the Ornstein-Uhlenbeck process
This paper derives a simple closed-form formula for the n th conditional moment of the Ornstein-Uhlenbeck (O-U) process, for any positive integer n. The system of recursive ordinary differential equations (ODEs) associated with the n th conditional moment of the O-U process is solved analyticall...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Prince of Songkla University
2020-08-01
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| Series: | Songklanakarin Journal of Science and Technology (SJST) |
| Subjects: | |
| Online Access: | https://rdo.psu.ac.th/sjstweb/journal/42-4/16.pdf |