Julian Wergieluk
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 May15 awarded Caucus Mar11 comment What are $C_b^2 (\mathbb R)$ and $C^{2,1} (\mathbb R × \mathbb R^+ )$? What are the functions $a$ and $b$ for? Mar10 answered Stochastic processes for beginers (good links and books) Jan29 comment see when two measures are equal on σ-algebra generated by all intervals in [a,b]. Monotone Class Theorem is perhaps a more common name for Dynkins's lemma mentioned by @gnometorule Jan27 comment Approximation of SDE A nice book covering simulation of SDEs is Iacus: Simulation and Inference for SDEs. In particular you will find the formulas for exact simulation for most popular models. Nov6 comment general semimartingale theory You may also try the book "Stochastic integration with jumps" by K. Bichteler. It has a lot of exercises. A version of the book is available on authors' homepage.. Sep20 comment Limit of series Javaman's statement is also correct :) Aug1 awarded Critic Jun26 answered Maximum Likelihood Estimation of an Ornstein-Uhlenbeck process Jan29 answered Verifying Exponential Family Dec10 comment How is the law of a stochastic process defined? The second construction is called "finite-dimensional distributions". Wikipedia is perhaps not the best place to learn about this.. I would recommend reading the first two chapters of this lecture notes: stat.cmu.edu/~cshalizi/754 Nov30 awarded Commentator Nov30 comment Confidence band for Brownian Motion with uniformly distributed hitting position Note that the second requirement was that, the hitting time of the boundary is uniformly distributed on $[0,1]$. Can you prove this for $u(t)=c^*$? Nov30 comment Confidence band for Brownian Motion with uniformly distributed hitting position Sorry guys! I missed that interesting discussion in March. I particularly like the discretization idea. The method could give us the idea how such a curve might look like. Thanks! Nov28 comment Exercises on stochastic calculus Small hint: solutions to the exercises from the first three chapters of Protters book are available on his homepage. Nov28 answered Exercises on stochastic calculus Nov27 comment Is this some type of convergence of stochastic processes? As far as I know the above is just the $L^2(dP,dt)$ convergence. Other type of convergence used for constructing stochastic integrals is for example ucp convergence. Protter is a good reference on that. Nov14 awarded Scholar Nov14 accepted Double exponential distribution is not an exponential family Nov14 answered Double exponential distribution is not an exponential family