- #1
JohnFrum
- 3
- 0
Homework Statement
I'm working on a process similar to geometric brownian motion (a process with multiplicative noise), and I need to calculate the following expectation/mean;
[tex]\langle y \rangle=\langle e^{\int_{0}^{x}\xi(t)dt}\rangle[/tex]
Where [itex]\xi(t)[/itex] is delta-correlated so that [itex]\langle\xi(t)\rangle=0[/itex], and [itex]\langle\xi(t_1)\xi(t_2)\rangle=\delta(t_1-t_2)[/itex]. I also know that [itex]\xi(t)[/itex] obeys Gaussian statistics at all times.
Homework Equations
Those given above.
The Attempt at a Solution
All I could think of doing was expanding the exponential in a power series, this give me:
[tex]1+\frac{1}{2}x+\frac{1}{3!}\int_{0}^{x}\int_{0}^{x}\int_{0}^{x}\langle\xi(t_{1})\xi(t_{2})\xi(t_{3})\rangle dt_{1}dt_{2}dt_{3}+...[/tex]
But I have no idea how to deal with the correlations fo more than 2 of the noise terms. I am new to stochastic processes, so sorry if this is a silly question, but any help and/or guidance would be much appreciated.
By the way, feel free to move this to the maths section if it would suit better there, I wasn't sure which it suited better.