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F( t ) G ( t )x X
t
x
2 D( t ) f x , t
f x, t
x 2
Consider that you are interested to use the linear stochastic model
X X
dX
D dW
t
t
dt
dt
discussed in class for the modeling of a case considered.
a) How is it possible to determine the parameters D and of this model in terms of
measured statistics?
b) How is it possible to provide evidence for the suitability of modeling a certain
case in terms of a linear stochastic model?