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answered On the proof of lemma 1.2.4 of Stroock and Varadhan A question concerning stopping times
Aug
27
reviewed Reject Show that from a group of seven people whose (integer) ages add up to 332 one can select three people with the total age at least 142.
Aug
27
accepted How is this trival?
Aug
26
comment How is this trival?
@ Ian : Thank you I'll check for the reference. Best regards
Aug
26
comment How is this trival?
@ David : Thank's a lot this is convincing for a positive or probability measure $\mu$ but I 'm not totally sure if this is enough for Radon Measures (as I am not very acquainted to those) specifically two points still remain unclear to me, the "legality" of the intervertion of sum integral and the finitness argument. Best regards
Aug
26
asked How is this trival?
Aug
11
reviewed Approve Eigenvalues calculation
Aug
7
comment Compute $\mathbb{E}[\tilde{X}_t]$, where $\tilde{X}_t=X_t=(1-t)\int_0^t\frac{1}{1-s}dW_s$ for $0\le t<1$ and $\tilde{X}_t=0$ for $t=1$
@ s1047857 : hi your attempt is simply totally false. Your professor is right but he doesn't explain why he calculates the first integral, the reason for doing this is the fact that for the stochastic integral to exist it suffices that the square of the integrand be Lebesgue integrable and moreover in that case it is a true martingale which implies that its value is 0. Best regards
Aug
3
reviewed Approve Minimum and Maximums involving Partial Derivatives
Aug
1
reviewed Reject In an inner product space, if the matrix is symmetric, is an eigenspace necessarily orthogonal to the range space?
Aug
1
reviewed Reject why does following series diverges
Jul
31
reviewed Approve Egorov's theorem and Baire class $1$ function
Jul
31
reviewed Approve Why is $\frac{1}{4/3} - \frac{1}{3/2}$ not the same as $\bigl(\frac{4}{3} - \frac{3}{2}\bigr)^{-1}$
Jul
30
comment Analytic solution to stochastic differential equations
@Gammone Gammone : It would make the question more interesting if you derive the way you get to this system from the original one. Best regards.
Jul
30
answered Analytic solution to stochastic differential equations
Jul
29
comment Analytic solution to stochastic differential equations
Hi, after a quick review of the article there are still many unknowns left in your formulation. How do you get the intertwined system of SDE from the original system (meaning by that getting $\zeta$ and $\xi$ in each other SDES) ? Even in the RN formulation of the model there is no "intertwining" (eq. 7a and 7b of your reference). So can you add the line of argumentation to go from the the original model to this system of SDEs. Best regards
Jul
28
revised Analytic solution to stochastic differential equations
edited title
Jul
28
comment Analytic solution to stochastic differential equations
@ Gammone Gammone : could you clarify your notations and specification of your problems please ? You mention $\zeta$ as an OU process but the SDE does not fit and $\xi$ is simply not a BM. What are the details about $\phi,\varphi, \kappa,\mu$ ?Do they depend on time ? For Brownian motions $z_{\zeta }$,and $z_{\xi }$ it would be better to put an exponent on those and keep the index for time. Best regards.
Jul
27
revised Change from stochastic exponential to exponential of Lévy process - Applebaum
corecting a few spelling mistakes
Jul
24
comment Why is $f(X_t)-\int_0^t Af(X_s) \, ds$ a martingale for a Markov process $(X_t)_{t \geq 0}$?
Hi what is FTC standing for ? Do you know Itô's lemma ?