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23h
reviewed Approve Minimum and Maximums involving Partial Derivatives
2d
reviewed Reject In an inner product space, if the matrix is symmetric, is an eigenspace necessarily orthogonal to the range space?
2d
reviewed Reject why does following series diverges
Aug
1
reviewed Approve linear algebra and solving has infinitely many solutions.
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 ?
Jul
24
revised Why is $f(X_t)-\int_0^t Af(X_s) \, ds$ a martingale for a Markov process $(X_t)_{t \geq 0}$?
added tag
Jul
14
comment Show a stochastic process is a martingale using Ito's lemma
@ mastro : Because : $\forall t>0, E[\langle Y\rangle_t]<\infty$ which is enough to show that $Y$ is a martingale (once an easy calculation is done). Best regards.
Jun
28
reviewed Approve Minimal area of triangle
Jun
26
reviewed Approve Show that $\frac{(x^2 + y^2 )}{4} \leq e^{x+y-2}$
Jun
21
reviewed Approve Which relations are partial orders
Jun
19
reviewed Approve I have a 2x2 positive-semidefinite matrix. I am trying to find the equation of its elements.
Jun
16
comment Problem including SDE
@ James Green : Hi a few questions. What are your conditions over the function $a$, and how $W(s)$ is defined for $s\in (0,\delta)$ ? What meaning do you give to $\frac{dg(t,Y_{t})}{dY_{t}} = 0$ it appears to me that it doesn't have any proper meaning in the context of sde ? Best regards