A geometric Brownian motion car-following model: towards a better understanding of capacity drop
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چکیده
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1 Geometric Brownian motion
where X(t) = σB(t) + μt is BM with drift and S(0) = S0 > 0 is the intial value. We view S(t) as the price per share at time t of a risky asset such as stock. Taking logarithms yields back the BM; X(t) = ln(S(t)/S0) = ln(S(t))− ln(S0). ln(S(t)) = ln(S0) +X(t) is normal with mean μt + ln(S0), and variance σ2t; thus, for each t, S(t) has a lognormal distribution. As we will see in Section 1.4: let...
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ژورنال
عنوان ژورنال: Transportmetrica B: Transport Dynamics
سال: 2018
ISSN: 2168-0566,2168-0582
DOI: 10.1080/21680566.2018.1518169