Reputation
696
Next privilege 1,000 Rep.
Create new tags
Badges
1 4 16
Newest
 Caucus
Impact
~8k people reached

Jul
9
accepted why does $P(X_{n+m} = j \mid X_m = k, X_0 = i) = P(X_{n+m}= j \mid X_m = k)$ follows from the Markov Property
Jul
7
asked why does $P(X_{n+m} = j \mid X_m = k, X_0 = i) = P(X_{n+m}= j \mid X_m = k)$ follows from the Markov Property
May
23
accepted How to use Itō in this very simple case
May
23
comment How to use Itō in this very simple case
@saz brilliant! you helped me a lot. many thanks
May
23
comment How to use Itō in this very simple case
@saz thanks for your comment. I'm just struggeling with the following. The occurence of $W_t$ can be replaced by $x$, why not the occurence of $W_u$ within the integral? Why do I not have to take the partial derivative of $\int W_u du$ wrt to $x$. It seems $W_t$ and the $W_u$ under the integral sign are different things.
May
23
comment How to use Itō in this very simple case
@saz exactly I would like to have the differential $dX_t$. Just for the process $\int_0^t W_u du$ it must be equal $W_tdt$. This looks like normal calculus, but we have also the dependency of $W$ within the integral, or not?
May
23
asked How to use Itō in this very simple case
May
3
comment Why is the expectation of essential supremum equal the supremum of expectations
@TheBridge ah stupid me! many thanks!
May
2
comment Why is the expectation of essential supremum equal the supremum of expectations
@saz so how can one proof this? its from this lecture note, proposition 1.1.14 fmf.uni-lj.si/finmath09/ShortCourseAmericanOptions.pdf
May
2
asked Why is the expectation of essential supremum equal the supremum of expectations
Mar
15
comment simple conditional expectation
@Did Since $\eta$ is not discrete here, I would use: $Z:=E[\xi|\eta]$ is the r.v. so that $Z$ is $\sigma(\eta)$ measurable and for every $A\in\sigma(\eta)$ we have $E[Z\mathbf1_A] = E[\xi\mathbf1_A]$ (I omit the integrability condition). If there is an easier way, I'm happy to hear that one.
Mar
15
comment simple conditional expectation
Thanks for the quick response. Could you explain how you got the answer?
Mar
15
revised simple conditional expectation
added 116 characters in body
Mar
15
comment simple conditional expectation
I have the example from a book, see edited post. The claim the solution is $E[\xi|eta](x)=\frac{1}{6}\mathbf1_{x\in[0,\frac{1}{2})}+2x^2\mathbf1_{x\in [ \frac{1}{2},2]}$
Mar
15
asked simple conditional expectation
Feb
12
accepted Solving equation with two equations for one paramter using constraints
Feb
9
asked Solving equation with two equations for one paramter using constraints
Dec
27
asked Is this really a solution to the PDE?
Dec
8
awarded  Caucus
Dec
4
awarded  Yearling