Definition of a diffusion coefficient

  • #1
5
1
Consider this Ito proces: $$dX_t = \mu(X_t,t)dt+\sigma(X_t,t)dW_t$$ with W_t being a wiener process. My question: What is the diffusion coefficient of X?

My motivation for asking: A lot if financial literature refer to "diffusion coefficient" and I haven't understood by googling it, because most google hits take me to a site where the diffusion coefficient is defined within some specific problem in physics.
 

Answers and Replies

Related Threads on Definition of a diffusion coefficient

Replies
1
Views
7K
  • Last Post
Replies
4
Views
3K
  • Last Post
Replies
3
Views
2K
  • Last Post
Replies
8
Views
3K
  • Last Post
Replies
8
Views
4K
  • Last Post
Replies
3
Views
9K
Replies
2
Views
3K
  • Last Post
Replies
4
Views
1K
Replies
8
Views
3K
  • Last Post
Replies
8
Views
3K
Top