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| visits | member for | 2 years, 5 months |
| seen | 12 hours ago | |
| stats | profile views | 252 |
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Dec 5 |
revised |
Why is the Fourier Transform of a Lévy Process a continuous function? What about the inverse? (Bochners Theorem) reference added |
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Dec 5 |
revised |
Why is the Fourier Transform of a Lévy Process a continuous function? What about the inverse? (Bochners Theorem) added 12 characters in body |
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Dec 5 |
answered | Why is the Fourier Transform of a Lévy Process a continuous function? What about the inverse? (Bochners Theorem) |
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Dec 5 |
awarded | Yearling |
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Nov 24 |
comment |
Expectation of exponential martingale and indicator function. Have tried Girsanov Theorem ? |
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Nov 23 |
comment |
Exit time of interval by diffusion using Girsanov's theorem @ Ben Derrett : I think I was a little optimistic, what I have read is about applying Girsanov to calculate more easily Laplace transform of hitting time of a single barrier (for drift BM or GBM). Best regards |
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Nov 22 |
comment |
Exit time of interval by diffusion using Girsanov's theorem @ Ben Derrett : I think it's possible, Girsanov would remove the drift and then you should be able to reduce the problem to brownian motion case using equality in law of $\sigma B_t$ with $B_{\sigma^2.t}$. Regards |
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Nov 20 |
comment |
covariance of integral of Brownian @ did : probably the shortest possible beautiful answer but it lacks a little justsification of the use of Fubini's theorem ;-) |
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Nov 17 |
comment |
Multivariate Stochastic Process Sorry I still don't get what you mean by concave shape. Good luck and regards |
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Nov 15 |
comment |
Multivariate Stochastic Process @ bella : would you please give some precisions about what you mean exactly by concave decresasing (as a function of what)? Best regards |
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Nov 13 |
comment |
Local martingale iff each component is a local martingale? @ user13655 : A remark although the definition asserts that the stopped processes are u.i. martingales, if the stopped processes are martingales then are u.i. martingales. So often the definition is given with only the property that the stopped processes are martingales. Best regards |
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Nov 9 |
comment |
Demonstrate that every martingale is a local martingale. Hi I think that by taking $\sigma_n=n$ as a localizing sequence, it is clear from the fact that a stopped martingale by a bounded stopping time stays a martinagle, that every martingales are local martingales. Best regards |
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Nov 7 |
comment |
beginner's question about Brownian motion @ dmm : I think you missed an important hypothesis which is independence of increments. Best regards. |
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Nov 5 |
comment |
general semimartingale theory @ Math : You also have Protter's Book but often the redaction of the proofs are sometimes a little hasty in my opinion. Otherwise you have the wonderful blog of George Lowther "Almost Sure" which is really nice and comprehensive on stocastic integration with respect to semi-martingales, even if it has an original approach to the theory it is really incredibly pedagogical.Best regards |
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Oct 25 |
answered | Independent increments? |
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Oct 25 |
answered | One question about proof of martingale representation theorem |
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Oct 24 |
comment |
Approximation of stochastic differential equations @ Mellow : I think that the differnce process z t =x t −y t (if x and y start at the same point) follows "almost" an ODE ( no Brownian term ) and it is stochastic only in the drift term, maybe a classical ODE method would do the trick Best regards |
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Oct 22 |
comment |
When can we interchange the derivative with an expectation? @ Jonas : no it is not always true, but if you can interchange expectation and integral term then it is true so you only have to derive the conditions under which such operation is ok. Regards. |
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Oct 18 |
answered | Formulae to about Moment and Cross-moments of Stratanovitch Iterated Integrals |
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Oct 16 |
answered | Definition of Doob martingale |
