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Mar
21
awarded  Benefactor
Mar
21
awarded  Scholar
Mar
21
accepted Approximation of stochastic processes in Protter
Mar
14
awarded  Promoter
Mar
11
asked Approximation of stochastic processes in Protter
Mar
11
awarded  Tenacious
Mar
10
comment $\int_t^T 1_C\cdot A\;d\!X=1_C\cdot\int_t^T A\;d\!X$ for $C\in\mathcal F_t$?
How did you define the stochastic integral?
Mar
10
comment $\int_t^T 1_C\cdot A\;d\!X=1_C\cdot\int_t^T A\;d\!X$ for $C\in\mathcal F_t$?
Can you prove it for simple integrands? Then it should be easy to generalise it. Keep in mind $\int_t^T\mathbf1_CA_sdX_s$ and $\mathbf1_C$ does not depend on $s$.
Mar
1
comment Computation of a simple stochastic integral
@Chung-HanHsieh I guess you ment $E[t(\omega)^*\wedge T]$ in your last comment. Again this depends on the definition of $t(\omega)^*$
Mar
1
comment Computation of a simple stochastic integral
@Chung-HanHsieh a lower bound would be 0, wouldn't it?
Mar
1
answered Computation of a simple stochastic integral
Feb
27
awarded  Tumbleweed
Feb
25
comment Expected Value of Exponential
@brikks and $E[\epsilon]=0$ so......? Again, what is $S$ and $\|\cdot\|$?
Feb
25
comment Expected Value of Exponential
what is $S$ and $\|\cdot\|$?
Feb
25
comment Expected Value of Exponential
@brikks If $X\sim\mathcal{N}(0,1)$ then for a deterministic parameter $c\in\mathbb{R}$ what is the distribution of $cX$? What is $S$ in your case and $\|\cdot\|$?
Feb
25
revised Using central limit theorem on a probability density function
used the right LaTeX commands
Feb
25
suggested suggested edit on Using central limit theorem on a probability density function
Feb
25
answered Expected Value of Exponential
Feb
20
asked optimization problem in mathmetical finance using convex duality
Feb
6
awarded  Altruist