Representations of joint probability densities for interest rate stochasticprocesses
Joint probability densities of some diffusion processes are represented as a mix of distributions. The mixing random variable has negative binomial distribution, and under the fixed value of a mixing random variable the joint density become a product marginal, i.e. values of process at the various moments of time as though become "independent", and it turns out, that the mixing random variable "regulates" dependence between different values of process.
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Keywords
mix of probability densities , diffusion stochastic process , Joint probability density , смеси плотностей вероятностей , диффузионные случайные процессы , совместные плотности вероятностейAuthors
| Name | Organization | |
| Medvedev G.A. | Byelorussian State University | MedvedevGA@Cosmostv.by |
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