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visits member for 1 year, 4 months
seen Mar 17 at 1:24

Jan
6
answered maximum number of collinear points?
Dec
8
awarded  Yearling
Dec
6
revised Backward PDE for a mean-reverting stochastic process
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Oct
18
revised Backward PDE for a mean-reverting stochastic process
edited body
Oct
12
revised Why can I exchange the order of integration in a multiple Ito stochastic integral?
deleted 10 characters in body
Oct
11
answered Some basic questions about Stochastic Calculus
Oct
11
revised Why can I exchange the order of integration in a multiple Ito stochastic integral?
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Oct
11
revised Why can I exchange the order of integration in a multiple Ito stochastic integral?
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Oct
11
answered Why can I exchange the order of integration in a multiple Ito stochastic integral?
Oct
10
comment Why can I exchange the order of integration in a multiple Ito stochastic integral?
Mark: I think I know what the problem is. You simply cannot say $W_s = s^2$ since $W_s$ is Brownian motion.
Oct
10
comment Why can I exchange the order of integration in a multiple Ito stochastic integral?
Mark: $dW_s \sim \mathcal{N}(0, ds)$ is a random variable, while $ds$ is a deterministic quantity. For example, $\text{Var}(ds) = 0$.
Oct
10
comment Why can I exchange the order of integration in a multiple Ito stochastic integral?
How can $dW_s = 2s \, ds$? By definition $dW_s \equiv W_{s+ds} - W_s$.
Oct
7
awarded  Scholar
Oct
7
accepted Backward PDE for a mean-reverting stochastic process
Oct
3
revised Find the conditional expectation $\mathbb{E}[X_2|\mathcal{F}_1]$
formatted the title properly in LaTeX
Oct
3
suggested suggested edit on Find the conditional expectation $\mathbb{E}[X_2|\mathcal{F}_1]$
Oct
3
comment Is random variable $X_i$ measurable on ${\mathcal F_{i+1}}$ or ${\mathcal F_{i-1}}$?
Thanks for pointing out my mistakes. I removed the erroneous part of the answer.
Oct
3
revised Is random variable $X_i$ measurable on ${\mathcal F_{i+1}}$ or ${\mathcal F_{i-1}}$?
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Oct
2
comment Find the conditional expectation $\mathbb{E}[X_2|\mathcal{F}_1]$
Did: the question says "$X_n=2*X_{n-1}$ with prob = $3/4$". So given $X_1$, the probability of $X_2 = 2 X_1$ is $3/4$.
Oct
2
revised Find the conditional expectation $\mathbb{E}[X_2|\mathcal{F}_1]$
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