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Jun
18
revised Doubt Concerning Markov Property
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Jun
18
revised Doubt Concerning Markov Property
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Jun
17
revised Doubt Concerning Markov Property
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Jun
17
revised Doubt Concerning Markov Property
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Jun
17
revised Doubt Concerning Markov Property
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Jun
17
comment Doubt Concerning Markov Property
@saz please see my update. I am talking about the simple Markov (in it simplest formulation for continuous process) property not the strong one Many thanks
Jun
17
revised Doubt Concerning Markov Property
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Jun
16
comment Doubt Concerning Markov Property
Sorry. I should have precised that I am talking just about "weak" Markov Property. And $X$ is a continuous process taking values in continuous space.
Jun
16
revised Doubt Concerning Markov Property
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Jun
16
asked Doubt Concerning Markov Property
May
24
awarded  Yearling
Mar
14
awarded  Popular Question
Jan
16
revised Distribution of $(\sup_{0\leq s\leq t} W_s -W_t)$
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Jan
16
revised Distribution of $(\sup_{0\leq s\leq t} W_s -W_t)$
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Jan
16
comment Distribution of $(\sup_{0\leq s\leq t} W_s -W_t)$
@Did : Thank you for your answer. I am aware of this result. I am struggling to obtain the law of $g(X_t,W_t) $ where $g(x,w) = x-y$.
Jan
16
revised Distribution of $(\sup_{0\leq s\leq t} W_s -W_t)$
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Jan
16
revised Distribution of $(\sup_{0\leq s\leq t} W_s -W_t)$
edited tags
Jan
16
asked Distribution of $(\sup_{0\leq s\leq t} W_s -W_t)$
Dec
4
awarded  Popular Question
Nov
24
comment Integral of a geometric Brownian motion
Indeed I was not clear at all with my comment. Sorry for that. I would like to know if the law of this random variable is trivially known. If there is the case what is this law? Has its distribution a "simple" analytic formula ?