Geometrical Brownian Motion Driven by Color Noise

Details Geometrical Brownian Motion Driven by Color Noise Geometrical Brownian Motion Driven by Color Noise

2007-02-26

arxiv.org/abs/cond-mat/0702607v1

Physics

Condensed Matter

Statistical Mechanics

presented at FENS, 2006, Cracow, April 22

Scientific paper

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.

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