Sentence examples for mean reverting process from inspiring English sources

In particular, we discuss the cases where the type of each agent follows an arithmetic or geometric Brownian motion or a mean reverting process.

The selected parameters were used to develop stochastic process models using Ito process and mean reverting process for feed composition and kinetic parameter uncertainty.

Usually, commodity prices are modelled as a mean reverting process, since the prices tend to revert to their long run marginal costs of production.

A slowly reverting MRP with a shifting trend makes it difficult to distinguish between a random walk and a mean reverting process.

Two common forms of such processes are the Geometric Brownian Motion with drift and the Ornstein-Uhlenbeck mean-reverting process.

As an example, we show that the correlation model of van Emmerich can be obtained by transforming the special mean-reverting process (12), i.e. the van Emmerich's correlation process is just a special case of the general transformation [12].

Hence, prices of distillate fuels and LNG are supposed to follow mean-reverting processes in our study, which is bolstered by Li (2007), who argues that over time, the process of fuel prices tends to drift towards its long-term mean: such a process is called mean-reverting.

We investigate in detail the environments in which the type of each agent follows an arithmetic or geometric Brownian motion or a mean-reverting process.

The analysis reveals that the convenience yield follows a mean-reverting process, that the oil price is better fitted by the Geometric Brownian Motion with jumps and that the risk-free interest rate can be considered constant.

(25) With the above construction the SCP (22) is also a mean-reverting process.

(2010) use a mean-reverting process (namely, non-parametric procedure) to simulate future taxable income.