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Modeling an Ito-process Random Walk Using a History Generator Element.

Description

This model uses a History Generator Element to model an Ito-process random walk. The distribution of the future value is lognormal. The mean of the log increases linearly with time at a rate of (Mu - Sigma^2/2). The variance of the log increases linearly with time at a rate of Sigma. The 'Exact' element calculates the expected final values of a stochastic history with those parameters.

 

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