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Recently Referred Formulae

{\rm E}\left[ {\cal R}_i {\cal R}_j \right] = \mu^{|i-j|}(\mu^2   \sigma^2)^{\min(N-i 1, N-j 1)}
\sigma^2 &=& {\rm E}[R_i^2] - \mu^2 \\
{\rm E}[R_i^2] &=& \sigma^2   \mu^2
{\rm d}x(t) &=& a(x, t){\rm d}t   b(x, t){\rm d}W_t\\
y(t) &=& g(x, t)
r(t) = r(0)e^{-at}   b(1-e^{-at})   \sigma e^{-at}\int_{0}^{t}e^{as}{\rm d}W_s
{\rm d}x(t) = \mu x(t) {\rm d}t   \sigma x(t) {\rm d}W_t