Abstract: This appendix describes the concept of a stochastic process and describes the stochastic processes that are most commonly used to model commodity prices. Stochastic Processes A variable whose value changes randomly over time follows a stochastic process. Processes of this type can be classified as discrete-time or continuous-time processes. In a discrete-time stochastic process, the value of the variable changes only at certain fixed time points, whereas in a continuous-time stochastic process such changes may occur at any time.
Publication Year: 2009
Publication Date: 2009-01-29
Language: en
Type: book-chapter
Indexed In: ['crossref']
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