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 Nov24 revised Density process/Radon-Nikodym derivative problems edited title Nov24 accepted Expectation of exponential martingale and indicator function. Nov24 comment Density process/Radon-Nikodym derivative problems @DavideGiraudo What you mean by integrating on a set of non-zero measure on which $f \leq 0$. All of that. Nov24 comment Density process/Radon-Nikodym derivative problems @DavideGiraudo I'm afraid I don't follow. Nov24 comment Density process/Radon-Nikodym derivative problems @DavideGiraudo I've revised to make this clear. Nov24 comment The Lebesgue integral $\int_\Omega dP$ @did I'm taking a stochastics course with no background in measure theory so I have holes everywhere, unfortunately! Nov24 comment Expectation of exponential martingale and indicator function. @did I apologize for the typo. Nov24 revised Expectation of exponential martingale and indicator function. added 4 characters in body Nov24 accepted The Lebesgue integral $\int_\Omega dP$ Nov24 asked Density process/Radon-Nikodym derivative problems Nov24 asked The Lebesgue integral $\int_\Omega dP$ Nov24 accepted Covariation of Wiener processes, $\langle W_1,W_2\rangle_t = \rho t$. Nov24 revised Covariation of Wiener processes, $\langle W_1,W_2\rangle_t = \rho t$. deleted 15 characters in body Nov24 comment Covariation of Wiener processes, $\langle W_1,W_2\rangle_t = \rho t$. @saz No. $\rho$ is the correlation coefficient. The equality $\langle W_1,W_2 \rangle_t = \rho t$ is provided in the (ungraded) homework question's preamble where $\rho \in [-1,1]$. Nov24 revised Covariation of Wiener processes, $\langle W_1,W_2\rangle_t = \rho t$. deleted 144 characters in body Nov24 revised Covariation of Wiener processes, $\langle W_1,W_2\rangle_t = \rho t$. deleted 34 characters in body; edited tags Nov24 asked Covariation of Wiener processes, $\langle W_1,W_2\rangle_t = \rho t$. Nov24 comment Expectation of exponential martingale and indicator function. @TheBridge I am not allowed to change probability measure in this question (they specifically told us so). Nov24 revised Expectation of exponential martingale and indicator function. edited tags Nov24 revised Expectation of exponential martingale and indicator function. added 122 characters in body