149 reputation
8
bio website http://-
location Kiev, Ukraine
age 24
visits member for 2 years, 1 month
seen Apr 1 at 12:23

Major: Stochastic processes.


Oct
17
comment The intersection of linear subspaces is non empty if…
I am asking about the intersection of \textbf{hyperspaces} with the inequality!!! sign, rather than the intersection of hyperplanes with the equality sign :)
Oct
17
asked The intersection of linear subspaces is non empty if…
Mar
18
comment Probability density function of the integral of a continuous stochastic process
Are you still interested in this question?
Mar
18
asked Negative moments of a functional of Wiener process
Dec
30
comment Itô's lemma to solve the SDE
Please, specify what is Q.
Dec
17
comment Hölder Continuity of Fractional Brownian Motion
or for instance, here statslab.cam.ac.uk/~beresty/teach/StoCal/sc3.pdf page 10. Good lecture notes, by the way.
Dec
17
comment Hölder Continuity of Fractional Brownian Motion
In fact, there Kolmogorov criterion in your formulation can not help apriori. Use this one galton.uchicago.edu/~lalley/Courses/385/GaussianProcesses.pdf on the page six
Oct
7
awarded  Critic
Oct
3
awarded  Commentator
Oct
3
comment Show that $O_t$ is a Gaussian Process
In fact, this Ito integral is for deterministic integrand, hence it coincides with ... .... and by the properties of jointly Gaussian r.v. one gets that $O_t$ is ... ...
Sep
23
accepted Convergence to the stable law
Sep
23
comment Cylindrical sigma algebra and continuous functions.
I do not understand your question. It was just an attempt to refresh some notions in my head.
Sep
23
comment Cylindrical sigma algebra and continuous functions.
wow! and the same method seems to work when we want to prove that no subset of bounded or measurable functions, for instance, is in $\mathcal B$. Great!
Sep
23
accepted Cylindrical sigma algebra and continuous functions.
Sep
23
revised Cylindrical sigma algebra and continuous functions.
edited body
Sep
23
comment Cylindrical sigma algebra and continuous functions.
Yes, presicely this.
Sep
23
asked Cylindrical sigma algebra and continuous functions.
Sep
23
answered Follow up to “Is this local martingale a true martingale?”
May
6
awarded  Autobiographer
Apr
25
awarded  Scholar