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45 relations: Annals of Mathematics, Autoregressive model, Brownian motion, Covariance function, Cox–Ingersoll–Ross model, Damping ratio, Discrete time and continuous time, Einstein relation (kinetic theory), Equipartition theorem, Fokker–Planck equation, Gauss–Markov process, Gaussian noise, Gaussian process, George Uhlenbeck, Hooke's law, Interest rate, Itô isometry, Langevin equation, Lévy process, Leonard Ornstein, Markov chain, Maximum likelihood estimation, Moment (mathematics), Neil Shephard, Normal distribution, Ole Barndorff-Nielsen, Pairs trade, Physical Review, Pink noise, Probability distribution, Random walk, Regression toward the mean, Relaxation (physics), Scaling limit, Short-rate model, Stationary process, Stochastic differential equation, Stochastic process, Temperature, The Journal of Finance, Variance, Variation of parameters, Vasicek model, Wiener process, World Scientific.
Annals of Mathematics
The Annals of Mathematics is a bimonthly mathematical journal published by Princeton University and the Institute for Advanced Study.
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Autoregressive model
In statistics and signal processing, an autoregressive (AR) model is a representation of a type of random process; as such, it is used to describe certain time-varying processes in nature, economics, etc.
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Brownian motion
Brownian motion or pedesis (from πήδησις "leaping") is the random motion of particles suspended in a fluid (a liquid or a gas) resulting from their collision with the fast-moving molecules in the fluid.
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Covariance function
In probability theory and statistics, covariance is a measure of how much two variables change together, and the covariance function, or kernel, describes the spatial or temporal covariance of a random variable process or field.
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Cox–Ingersoll–Ross model
In mathematical finance, the Cox–Ingersoll–Ross model (or CIR model) describes the evolution of interest rates.
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Damping ratio
Damping is an influence within or upon an oscillatory system that has the effect of reducing, restricting or preventing its oscillations.
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Discrete time and continuous time
In mathematics and in particular mathematical dynamics, discrete time and continuous time are two alternative frameworks within which to model variables that evolve over time.
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Einstein relation (kinetic theory)
In physics (specifically, in kinetic theory) the Einstein relation (also known as Einstein–Smoluchowski relation) is a previously unexpected connection revealed independently by William Sutherland in 1904, Albert Einstein in 1905, and by Marian Smoluchowski in 1906 in their papers on Brownian motion.
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Equipartition theorem
In classical statistical mechanics, the equipartition theorem relates the temperature of a system to its average energies.
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Fokker–Planck equation
In statistical mechanics, the Fokker–Planck equation is a partial differential equation that describes the time evolution of the probability density function of the velocity of a particle under the influence of drag forces and random forces, as in Brownian motion.
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Gauss–Markov process
Gauss–Markov stochastic processes (named after Carl Friedrich Gauss and Andrey Markov) are stochastic processes that satisfy the requirements for both Gaussian processes and Markov processes.
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Gaussian noise
Gaussian noise is statistical noise having a probability density function (PDF) equal to that of the normal distribution, which is also known as the Gaussian distribution.
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Gaussian process
In probability theory and statistics, a Gaussian process is a stochastic process (a collection of random variables indexed by time or space), such that every finite collection of those random variables has a multivariate normal distribution, i.e. every finite linear combination of them is normally distributed.
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George Uhlenbeck
George Eugene Uhlenbeck (December 6, 1900 – October 31, 1988) was a Dutch-American theoretical physicist.
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Hooke's law
Hooke's law is a principle of physics that states that the force needed to extend or compress a spring by some distance scales linearly with respect to that distance.
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Interest rate
An interest rate is the amount of interest due per period, as a proportion of the amount lent, deposited or borrowed (called the principal sum).
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Itô isometry
In mathematics, the Itô isometry, named after Kiyoshi Itô, is a crucial fact about Itô stochastic integrals.
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Langevin equation
In physics, Langevin equation (named after Paul Langevin) is a stochastic differential equation describing the time evolution of a subset of the degrees of freedom.
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Lévy process
In probability theory, a Lévy process, named after the French mathematician Paul Lévy, is a stochastic process with independent, stationary increments: it represents the motion of a point whose successive displacements are random and independent, and statistically identical over different time intervals of the same length.
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Leonard Ornstein
Leonard Salomon Ornstein (November 12, 1880 in Nijmegen, the Netherlands – May 20, 1941 in Utrecht, the Netherlands) was a Dutch physicist.
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Markov chain
A Markov chain is "a stochastic model describing a sequence of possible events in which the probability of each event depends only on the state attained in the previous event".
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Maximum likelihood estimation
In statistics, maximum likelihood estimation (MLE) is a method of estimating the parameters of a statistical model, given observations.
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Moment (mathematics)
In mathematics, a moment is a specific quantitative measure, used in both mechanics and statistics, of the shape of a set of points.
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Neil Shephard
Neil Shephard (born 8 October 1964), FBA, is a British econometrician, currently Frank B. Baird, Jr.
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Normal distribution
In probability theory, the normal (or Gaussian or Gauss or Laplace–Gauss) distribution is a very common continuous probability distribution.
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Ole Barndorff-Nielsen
Ole Eiler Barndorff-Nielsen (born 18 March 1935 in Copenhagen) is a Danish statistician who has contributed to many areas of statistical science.
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Pairs trade
The pairs trade or pair trading is a market neutral trading strategy enabling traders to profit from virtually any market conditions: uptrend, downtrend, or sideways movement.
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Physical Review
Physical Review is an American peer-reviewed scientific journal established in 1893 by Edward Nichols.
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Pink noise
Pink noise or noise is a signal or process with a frequency spectrum such that the power spectral density (energy or power per frequency interval) is inversely proportional to the frequency of the signal.
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Probability distribution
In probability theory and statistics, a probability distribution is a mathematical function that provides the probabilities of occurrence of different possible outcomes in an experiment.
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Random walk
A random walk is a mathematical object, known as a stochastic or random process, that describes a path that consists of a succession of random steps on some mathematical space such as the integers.
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Regression toward the mean
In statistics, regression toward (or to) the mean is the phenomenon that if a variable is extreme on its first measurement, it will tend to be closer to the average on its second measurement—and if it is extreme on its second measurement, it will tend to have been closer to the average on its first.
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Relaxation (physics)
In the physical sciences, relaxation usually means the return of a perturbed system into equilibrium.
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Scaling limit
In physics or mathematics, the scaling limit is a term applied to the behaviour of a lattice model in the limit of the lattice spacing going to zero.
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Short-rate model
A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by describing the future evolution of the short rate, usually written r_t \,.
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Stationary process
In mathematics and statistics, a stationary process (a strict/strictly stationary process or strong/strongly stationary process) is a stochastic process whose unconditional joint probability distribution does not change when shifted in time.
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Stochastic differential equation
A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution which is also a stochastic process.
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Stochastic process
--> In probability theory and related fields, a stochastic or random process is a mathematical object usually defined as a collection of random variables.
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Temperature
Temperature is a physical quantity expressing hot and cold.
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The Journal of Finance
The Journal of Finance is a peer-reviewed academic journal published by Wiley-Blackwell on behalf of the American Finance Association.
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Variance
In probability theory and statistics, variance is the expectation of the squared deviation of a random variable from its mean.
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Variation of parameters
In mathematics, variation of parameters, also known as variation of constants, is a general method to solve inhomogeneous linear ordinary differential equations.
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Vasicek model
In finance, the Vasicek model is a mathematical model describing the evolution of interest rates.
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Wiener process
In mathematics, the Wiener process is a continuous-time stochastic process named in honor of Norbert Wiener.
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World Scientific
World Scientific Publishing is an academic publisher of scientific, technical, and medical books and journals headquartered in Singapore.
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References
[1] https://en.wikipedia.org/wiki/Ornstein–Uhlenbeck_process
