Geometrical Brownian Motion Driven by Color Noise
Abstract
The evolution of prices on ideal market is given by geometrical Brownian motion, where Gaussian white noise describes fluctuations. We study the effect of correlations introduced by a color noise.
0
Turn this paper into a full lesson
ArcXiv compiles a staged curriculum from this paper: 8-12 lessons across beginner → advanced, synthesised section guides, visuals, flashcards, a quiz, exercises, and on-demand deep dives per section. Grounded in the abstract, never invented.