Asymptotic Mean and Variance
We solve the stochastic differential equation to obtain
Using similar techniques as applied to the Ornstein–Uhlenbeck stochastic process this has mean
and variance
Consequently, we have
and
Read more about this topic: Vasicek Model
Famous quotes containing the word variance:
“There is an untroubled harmony in everything, a full consonance in nature; only in our illusory freedom do we feel at variance with it.”
—Fyodor Tyutchev (1803–1873)