1
vote
1answer
107 views

Why is the following function not càdlàg?

I have constructed the following function but I can't see why it is not càdlàg on $[0,1]$: $$f(x)=\begin{cases} 1, & ...
2
votes
2answers
64 views

Prove this equation

I'm taking a course on stochastic analysis. I'm stuck on the very first problem of the lecture notes: $\lim_{n \to \infty} \left(1+\frac{\lambda}{n} + o(n^{-1})\right)^n = \exp(\lambda)$ Prior to ...
2
votes
0answers
180 views

Explaining Ito formula to an analyst

From the point of view of analysis, what is Ito formula? Is it an integral by substitution, or, a radon-nikodym derivative? Define the probability space $$ \left(C\left(\Bbb ...