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Geometrical Brownian Motion Driven by Color Noise

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  • Ryszard Zygad{l}o

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.

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  • Ryszard Zygad{l}o, 2007. "Geometrical Brownian Motion Driven by Color Noise," Papers cond-mat/0702607, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0702607
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