Pearson-Wong Diffusions

The data give the ratio of "forehead" breadth to body length for 1000 crabs sampled at Naples by Professor W.F.R. Weldon. Source:  R mixdist package (http://goo.gl/CaGkt).

1. Introduction I introduce the concept of Pearson-Wong diffusions and then show how this mathematical object can be put to use in macro-finance. Roughly speaking, Pearson-Wong diffusions link properties of stochastic processes to properties of … [Continue reading]