Final Stochastic Assignments 2021
Final Stochastic Assignments 2021
Final Stochastic Assignments 2021
and
4. Consider a random walk process with time interval T and step size S and X(0)=0.
Let
∂2 R t ,t
(1) X X 1 2 ∂ t ∂ t XX ( 1 2 )
R ' ' ( t ,t )=
1 2
d2
′ R X ' X ' ( τ )=− R XX ( τ )
(2) if X (t ) is stationary, then dτ 2
(2) R ( 0 ) ≥0
9. The transition of wet (w) and dry (D) days in a city is modeled as a Markov chain
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