stochastic processes

petros · Post by **petros** » Wed Dec 13, 2006 10:06 am

I would like to ask you whether there are available functions (vensim models) that simulate diffusion and jump diffusion processes like mean reverting Gaussian and square root etc..

please also post at
theodoroupetros@go.com

bob@vensim.com · Post by **bob@vensim.com** » Wed Dec 13, 2006 11:48 am

When you mention jump-diffusion I assume you are interested in stock prices - there are lots and lots of diffusion models but these are related to physical diffusion. I don't know of any published work on stock prices but you might check the sd bibliography. Certainly such things will be models, not functions.