Simon Lyons
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Registered User
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Feb 23 |
awarded | ● Popular Question |
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Feb 8 |
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Law of motion of the expectation of the integral of a difussion Sorry, this is a case of mistaken identity. I was talking to a Paolo P. about something like this yesterday, mistook his second initial for a C. Just a coincidence. In any case, V can't be written as a first-order SDE directly, since it's differentiable. |
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Feb 8 |
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Converse to Girsanov’s theorem? Great, thanks for that. |
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Feb 7 |
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Law of motion of the expectation of the integral of a difussion If this is Paolo C., drop by any time and we can chat about it ;) |
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Feb 7 |
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Converse to Girsanov’s theorem? I don't think so. As far as I understand, Cameron-Martin is a special case of Girsanov. If I specify the drift, Girsanov's theorem tells me the change of measure. What I want to know is: given an equivalent change of measure, is it always expressable in the form above? In short, are changes of measure via Girsanov's theorem "the only thing you can do" to change the measure? |
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Feb 7 |
asked | Converse to Girsanov’s theorem? |
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Feb 2 |
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Trichotomies in mathematics I'm not a logician. I knew I was going to get slated on this one but for some reason I wrote it anyway... |
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Feb 2 |
answered | Trichotomies in mathematics |
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Dec 29 |
awarded | ● Nice Answer |
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Dec 29 |
answered | Math for a cake |
