wsw
Reputation
282
Next privilege 500 Rep.
Access review queues
 Oct 30 revised Solving StochasticDifferential Equation deleted 11 characters in body Oct 30 answered Solving StochasticDifferential Equation Dec 15 awarded Caucus Jan 6 answered maximum number of collinear points? Dec 8 awarded Yearling Dec 6 revised Backward PDE for a mean-reverting stochastic process added 15 characters in body 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? added 4 characters in body Oct 11 revised Why can I exchange the order of integration in a multiple Ito stochastic integral? added 197 characters in body 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 approved 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.