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Financial derivatives may have multiple underlying assets, each of which is random, modeled by a stochastic diffe3rential equation defined by a Brownian motion, and such Brownian motions are correlated with each other. In this chapter we study multidimensional Brownian motion.

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Multidimensional Brownian Motion

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  • 发表日期：

    2026年

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  • Geon Ho Choe

摘要

Financial derivatives may have multiple underlying assets, each of which is random, modeled by a stochastic diffe3rential equation defined by a Brownian motion, and such Brownian motions are correlated with each other. In this chapter we study multidimensional Brownian motion.