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seen May 1 at 12:14

Jul
2
awarded  Curious
Dec
1
awarded  Revival
May
16
accepted Rewriting SDEs - “Multiplication on both sides”
May
16
comment Rewriting SDEs - “Multiplication on both sides”
Well, it does. Thank you.
Apr
26
comment Cylindrical sigma algebra answers countable questions only.
Given an index set $T$ and a collection of $\sigma$-fields $\mathcal{F}_t$ on spaces $\Xi_t$, $t\in T$. Pick any $A_t \in\mathcal{F}_t$. Then $A_t\times \prod_{s\neq t} \Xi_s$ is a one-dimensional cylinder set.
Apr
26
asked Cylindrical sigma algebra answers countable questions only.
Feb
12
asked Stochastic Exponential: $dZ=-\lambda Z dM + dL$ to $dZ=-\lambda Z dM + Zd\tilde{L}$ while $\tilde{L}$ is still orthogonal to $M$
Dec
9
comment Ito Process $\Longrightarrow$ continuous semimartingale
No, also the converse is true. Check Thoerem II.3.9 in Protter's book. A cadlag, locally square integrable local martingale is a semimartingale, and a cadlag process with finite variation on compacts also is a semimartingale. Moreover, semimartingales form a vector space.
Dec
9
answered Ito Process $\Longrightarrow$ continuous semimartingale
Nov
13
accepted Is the product of a random variable and a Markov process still a Markov process?
Nov
13
comment Local martingale iff each component is a local martingale?
Well, how do you know that the min of the two makes both a uniformly integrable martingale? This is in my view precisely the problem!
Nov
13
answered Condition for existence of a stochastic differential equation
Nov
13
asked Local martingale iff each component is a local martingale?
Oct
15
comment Function that normalizes a result between 0 and 1
What the heck is "qualifying universes"?
Oct
15
comment Function that normalizes a result between 0 and 1
You may want to consider entropy. However, you should be more specific, because the real question is: What is different? In mathematics this definition is crucial, since many of the object's properties depend on some form of measurement of a distance and the like.
Oct
14
answered Help With Partial Derivative
Oct
14
asked Rewriting SDEs - “Multiplication on both sides”
Sep
29
accepted Conditional expectation of a finite variation process
Sep
28
comment Conditional expectation of a finite variation process
You may want to check Cor. 3.16 in the same book as above. Note that the process $M_t:=\mathbb{E}[A_T|\mathcal{F}_t]$ is a martingale and can thus either be constant or it is not of finite variation. Sorry for creating confusion.
Sep
28
revised Conditional expectation of a finite variation process
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