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Nov
25
revised Expectation of exponential martingale and indicator function.
deleted 118 characters in body
Nov
24
revised Density process/Radon-Nikodym derivative problems
edited title
Nov
24
accepted Expectation of exponential martingale and indicator function.
Nov
24
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.
Nov
24
comment Density process/Radon-Nikodym derivative problems
@DavideGiraudo I'm afraid I don't follow.
Nov
24
comment Density process/Radon-Nikodym derivative problems
@DavideGiraudo I've revised to make this clear.
Nov
24
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!
Nov
24
comment Expectation of exponential martingale and indicator function.
@did I apologize for the typo.
Nov
24
revised Expectation of exponential martingale and indicator function.
added 4 characters in body
Nov
24
accepted The Lebesgue integral $\int_\Omega dP$
Nov
24
asked Density process/Radon-Nikodym derivative problems
Nov
24
asked The Lebesgue integral $\int_\Omega dP$
Nov
24
accepted Covariation of Wiener processes, $\langle W_1,W_2\rangle_t = \rho t$.
Nov
24
revised Covariation of Wiener processes, $\langle W_1,W_2\rangle_t = \rho t$.
deleted 15 characters in body
Nov
24
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 $\rho \in [-1,1]$.
Nov
24
revised Covariation of Wiener processes, $\langle W_1,W_2\rangle_t = \rho t$.
deleted 144 characters in body
Nov
24
revised Covariation of Wiener processes, $\langle W_1,W_2\rangle_t = \rho t$.
deleted 34 characters in body; edited tags
Nov
24
asked Covariation of Wiener processes, $\langle W_1,W_2\rangle_t = \rho t$.
Nov
24
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).
Nov
24
revised Expectation of exponential martingale and indicator function.
edited tags