Geometrical Brownian Motion Driven by Color Noise

Ryszard Zygad{\l}o

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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.

Date: 2007-02
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0702607

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