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May
22
comment Skorokhod vs Meyer zheng topology
@ user242387 : Please add definitions of those topologies in particular the Meyer-Zheng isn't widely known. Not giving enough context for the forum participants to understand your question will most probably result with no answer. Best regards.
May
21
reviewed Approve Distributive modulo?
May
18
comment why hull white model has normal distribution?
@ peter : adding to calculon's comment, if you look for Wiener Integral you will find all that you need to answer the question yourself. Best regards
May
17
reviewed Approve Maximum value for a dependent variable in a marginal effect model
May
13
revised Distribuiton of stochastic integral
edited body
May
13
answered Distribuiton of stochastic integral
May
12
comment Ornstein-Uhlenbeck a Markov process
@ Rodel : This is because Lipschitz SDEs have markovian solutions. For example take a look at Protter's book "Stochastic Integration and Differential Equation" and theorem 32 (and/or 35) Chapter V page 294. Best regards.
May
12
comment Markov property when conditioning on future event
@ zebullon : Hi in step (1-2) I use the fact that $E[Y]=E[E[Y|\mathcal{G}]]$ for any good random variable and any sigma algebra, and the Markov property : $E[1\{X_{t+s}=y\}1\{X_T\in A\}|F_{t+s}]=E[1\{X_{t+s}=y\}1\{X_T\in A\}|X_{t+s}=y]$ (or with your notation $=E^{X_{t+s}=y}[1\{X_{t+s}=y\}1\{X_T\in A\}]$). Best regards
May
11
revised Markov property when conditioning on future event
added 13 characters in body
May
11
revised Markov property when conditioning on future event
added 23 characters in body
May
11
reviewed Approve Calculating the shortest route around cylinder
May
11
answered Markov property when conditioning on future event
May
10
comment Can we derive the PDE followed by a marginal transition probability density?
@ Fabio : You are welcome. Best regards
May
10
reviewed Approve Prove that if $\{1^5,2^5,\ldots, (pq)^5\}$ is a complete residue system mod $pq$, then $\{1^5,2^5,\ldots,p^5\}$ is a complete residue system mod $p$.
May
9
reviewed Reject Solve $\int_{0}^{1} \log(x)\log(1-x) dx$ without convolution
May
9
reviewed Approve Simple question in normal matrix
May
7
revised Can we derive the PDE followed by a marginal transition probability density?
deleted 11 characters in body
May
7
comment Applying Picard-Lindelöf iteration to a stochastic integral equation
@ Rodel : good for you.
May
7
answered Can we derive the PDE followed by a marginal transition probability density?
May
7
reviewed Approve $X$ is normal matrix and $AX=XB$ and $XA=BX$.why $A{X^*} = {X^*}B$ and ${X^*}A = B{X^*}$?