# Questions tagged [stochastic-processes]

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### Intuitive/Practical meaning of non-stationarity of GDP Data

As i just read in a time series book that a particular GDP data under consideration is non-stationary verified through various tests. From non-stationarity definition this means that the process has ...
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### Stochastic Dynamic Programming: Deriving the Steady-State for a Lottery

I am working through the basic examples of the stochastic RBC models in the book by McCandless (2008): The ABCs of RBCs, pp. 71 - 75 A Standard Stochastic Dynamic Programming Problem Here is a ...
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My question is about generalization of Tauchen'86 approach to a case of time-varying volatility. Say, I have a process $$z_{t+1}=\rho z_t+\sigma_t \varepsilon_{t+1}$$ where $\varepsilon\sim \mathcal{... 0answers 87 views ### How to use the Girsanov theorem to prove$\hat{W_t}$is a$\hat{\mathbb P}$-Brownian motion? Let$T > 0$, and let$(\Omega, \mathscr F, \{\mathscr F_t\}_{t \in [0,T]}, \mathbb P)$be a filtered probability space where$\mathbb P = \tilde{\mathbb P}$(risk-neutral measure) and$\mathscr F_t ...
How can I find the stationary distribution (as t goes to infinity) of stochastic difference equations in the form: $x_{t+1} = a*x_t + b*N(0,1)$ where N(0,1) is a standard normal pdf I have ...