About: Stochastic drift     Goto   Sponge   NotDistinct   Permalink

An Entity of Type : yago:StochasticProcess113561896, within Data Space : dbpedia.demo.openlinksw.com associated with source document(s)
QRcode icon
http://dbpedia.demo.openlinksw.com/c/8gEPyy3aNB

In probability theory, stochastic drift is the change of the average value of a stochastic (random) process. A related concept is the drift rate, which is the rate at which the average changes. For example, a process that counts the number of heads in a series of fair coin tosses has a drift rate of 1/2 per toss. This is in contrast to the random fluctuations about this average value. The stochastic mean of that coin-toss process is 1/2 and the drift rate of the stochastic mean is 0, assuming 1 = heads and 0 = tails.

AttributesValues
rdf:type
rdfs:label
  • Stochastic drift (en)
  • 漂移项 (zh)
rdfs:comment
  • In probability theory, stochastic drift is the change of the average value of a stochastic (random) process. A related concept is the drift rate, which is the rate at which the average changes. For example, a process that counts the number of heads in a series of fair coin tosses has a drift rate of 1/2 per toss. This is in contrast to the random fluctuations about this average value. The stochastic mean of that coin-toss process is 1/2 and the drift rate of the stochastic mean is 0, assuming 1 = heads and 0 = tails. (en)
  • 漂移项(英語:drift term)表示随机过程中,时间序列的正或负趋势。当随机变量是金融资产时,作出正的漂移假设是合适的,因为风险资产应该提供正的收益以补偿投资者所承担的风险,这样漂移类似于期望收益。變量的漂移参数表示每段小时间中,因漂移產生的变化為。若衹考慮漂移,每段小时间导致的期望收益变化就等於。 漂移項可与維納過程结合在一起,即可以考慮一个随机过程為漂移和基本維納过程两项之和。现在随机变量的变化有两个原因。第一个原因是在小的时间间隔,收益的期望值;第二个原因是随机变化,它用基本Wiener过程(即布朗運動)去描述。这样资产价格在小的时间间隔上的变化,可以用下面的随机微分方程描述: (zh)
dcterms:subject
Wikipage page ID
Wikipage revision ID
Link from a Wikipage to another Wikipage
Link from a Wikipage to an external page
sameAs
dbp:wikiPageUsesTemplate
has abstract
  • In probability theory, stochastic drift is the change of the average value of a stochastic (random) process. A related concept is the drift rate, which is the rate at which the average changes. For example, a process that counts the number of heads in a series of fair coin tosses has a drift rate of 1/2 per toss. This is in contrast to the random fluctuations about this average value. The stochastic mean of that coin-toss process is 1/2 and the drift rate of the stochastic mean is 0, assuming 1 = heads and 0 = tails. (en)
  • 漂移项(英語:drift term)表示随机过程中,时间序列的正或负趋势。当随机变量是金融资产时,作出正的漂移假设是合适的,因为风险资产应该提供正的收益以补偿投资者所承担的风险,这样漂移类似于期望收益。變量的漂移参数表示每段小时间中,因漂移產生的变化為。若衹考慮漂移,每段小时间导致的期望收益变化就等於。 漂移項可与維納過程结合在一起,即可以考慮一个随机过程為漂移和基本維納过程两项之和。现在随机变量的变化有两个原因。第一个原因是在小的时间间隔,收益的期望值;第二个原因是随机变化,它用基本Wiener过程(即布朗運動)去描述。这样资产价格在小的时间间隔上的变化,可以用下面的随机微分方程描述: (zh)
prov:wasDerivedFrom
page length (characters) of wiki page
foaf:isPrimaryTopicOf
is Link from a Wikipage to another Wikipage of
is Wikipage redirect of
is foaf:primaryTopic of
Faceted Search & Find service v1.17_git147 as of Sep 06 2024


Alternative Linked Data Documents: ODE     Content Formats:   [cxml] [csv]     RDF   [text] [turtle] [ld+json] [rdf+json] [rdf+xml]     ODATA   [atom+xml] [odata+json]     Microdata   [microdata+json] [html]    About   
This material is Open Knowledge   W3C Semantic Web Technology [RDF Data] Valid XHTML + RDFa
OpenLink Virtuoso version 08.03.3332 as of Dec 5 2024, on Linux (x86_64-generic-linux-glibc212), Single-Server Edition (378 GB total memory, 61 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2025 OpenLink Software